文档介绍：Equilibrium, Price Formation,
and the Value of Private
Information
Matthew O. Jackson
Northwestern University
An economy is analyzed in which agents first
choose whether to acquire costly information about
the return to a risky asset, and then choose demand
functions that determine the allocation of assets.
It is a well-known paradox that if agents are price-
takers andprices are fully revealing, then an equi-
librium with costly information acquisition does
not exist. It is shown that if the price formation
process is modeled explicitly and agents are not
price-takers, then it is possible to have an equilib-
rium with fully revealing prices and costly infor-
mation acquisition.
Rational expectations models have been used to ana-
lyze the allocation of goods in economies in which
agents initially possess private and diverse informa-
tion. [For surveys see Admati (1989), Allen (1985),
Grossman (1981), and Jordan and Radner (1982).] In
the rational expectations paradigm, traders under-
stand that prices convey information. They condition
their expectations upon prices and, thus, the infor-
mation revealed by prices is used in the formation of
demand functions. At the same time, however, agents
This article is based on a chapter of my dissertation [Jackson (1988)]. I wish
to acknowledge the support of a National Science Foundation fellowship.
the Graduate School of Business at Stanford University, and a State Farm
Doctoral Dissertation fellowship. I thank the members of my dissertation
committee, Darrell Duffie, Dilip Mookherjee, and Bob Wilson, for their gen-
erous help in developing this work. I also thank Anat Admati, Michael Bren-
nan, Paul Pfleiderer, Martin Shubik, Hugo Sonnenschein, Chester Spatt, Hal
Varian, and an anonymous referee for helpful suggestions and conversations
Address reprint requests to Matthew O. Jackson, ., Kellogg Graduate
School of Management, Northwestern Universit