Strategic complementarity of information in financial markets with large shocks

Christophe Chamley (1, 2, 3)

1 PSE - Paris-Jourdan Sciences Economiques
2 PSE - Paris School of Economics
3 BU - Boston University [Boston]

In a simple model of a frictionless financial market with rational agents, the value of private information increases when large discrete shocks independently affect the fundamental value of the asset and the exogenous trading. The complementarity in information gathering generates multiple equilibria.

Mots clés: Endogenous information; Strategic complementarity; Financial markets; Aggregation of information

Domaines: Economies et finances

Christophe Chamley. Strategic complementarity of information in financial markets with large shocks. Annals of Finance, 2010, 6 (1), pp.137-145. ⟨10.1007/s10436-009-0130-1⟩. ⟨halshs-00754485⟩