[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/cte/werepe/we1224.html
   My bibliography  Save this paper

The Appeal of Information Transactions

Author

Listed:
  • Cabrales, Antonio
  • Gossner, Olivier
  • Serrano, Roberto
Abstract
An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent’s preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness.

Suggested Citation

  • Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2012. "The Appeal of Information Transactions," UC3M Working papers. Economics we1224, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:we1224
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/rest/api/core/bitstreams/8df82317-cabd-4ddb-8a3a-20c6b0220644/content
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Control and Model Uncertainty," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 5, pages 145-154, World Scientific Publishing Co. Pte. Ltd..
    2. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, October.
    3. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013. "Entropy and the Value of Information for Investors," American Economic Review, American Economic Association, vol. 103(1), pages 360-377, February.
    4. Hansen, Lars Peter & Sargent, Thomas J., 2010. "Wanting Robustness in Macroeconomics," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 20, pages 1097-1157, Elsevier.
    5. Laura L. Veldkamp, 2011. "Information Choice in Macroeconomics and Finance," Economics Books, Princeton University Press, edition 1, number 9621.
    6. Olivier Gossner, 2011. "Simple bounds on the value of a reputation," PSE-Ecole d'économie de Paris (Postprint) halshs-00654683, HAL.
    7. Sergiu Hart, 2011. "Comparing Risks by Acceptance and Rejection," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 617-638.
    8. Athey, Susan & Levin, Jonathan, 2018. "The value of information in monotone decision problems," Research in Economics, Elsevier, vol. 72(1), pages 101-116.
    9. Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
    10. Olivier Gossner, 2011. "Simple Bounds on the Value of a Reputation," Econometrica, Econometric Society, vol. 79(5), pages 1627-1641, September.
    11. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    12. Nicola Persico, 2000. "Information Acquisition in Auctions," Econometrica, Econometric Society, vol. 68(1), pages 135-148, January.
    13. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
    14. Christian Gouriéroux & Alain Monfort & Eric Renault, 1987. "Kullback Causality Measures," Annals of Economics and Statistics, GENES, issue 6-7, pages 369-410.
    15. repec:adr:anecst:y:1987:i:6-7:p:17 is not listed on IDEAS
    16. Juan-JosÈ Ganuza & JosÈ S. Penalva, 2010. "Signal Orderings Based on Dispersion and the Supply of Private Information in Auctions," Econometrica, Econometric Society, vol. 78(3), pages 1007-1030, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2017. "A normalized value for information purchases," Journal of Economic Theory, Elsevier, vol. 170(C), pages 266-288.
    2. Ambuehl, Sandro & Li, Shengwu, 2018. "Belief updating and the demand for information," Games and Economic Behavior, Elsevier, vol. 109(C), pages 21-39.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013. "Entropy and the Value of Information for Investors," American Economic Review, American Economic Association, vol. 103(1), pages 360-377, February.
    2. Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2017. "A normalized value for information purchases," Journal of Economic Theory, Elsevier, vol. 170(C), pages 266-288.
    3. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.
    4. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    5. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    6. Li, Jian & Zhou, Junjie, 2020. "Information order in monotone decision problems under uncertainty," Journal of Economic Theory, Elsevier, vol. 187(C).
    7. Xiaosheng Mu & Luciano Pomatto & Philipp Strack & Omer Tamuz, 2021. "From Blackwell Dominance in Large Samples to Rényi Divergences and Back Again," Econometrica, Econometric Society, vol. 89(1), pages 475-506, January.
    8. repec:esx:essedp:770 is not listed on IDEAS
    9. Kyungmin Kim & Benjamin Lester & Braz Camargo, 2012. "Subsidizing Price Discovery," 2012 Meeting Papers 338, Society for Economic Dynamics.
    10. Meyer-Gohde, Alexander, 2019. "Generalized entropy and model uncertainty," Journal of Economic Theory, Elsevier, vol. 183(C), pages 312-343.
    11. Athey, Susan & Levin, Jonathan, 2018. "The value of information in monotone decision problems," Research in Economics, Elsevier, vol. 72(1), pages 101-116.
    12. Michel de Lara & Olivier Gossner, 2019. "Payoffs-Beliefs Duality and the Value of Information," Working Papers hal-01941006, HAL.
    13. Kim, Yonggyun, 2023. "Comparing information in general monotone decision problems," Journal of Economic Theory, Elsevier, vol. 211(C).
    14. Shorrer, Ran I., 2018. "Entropy and the value of information for investors: The prior-free implications," Economics Letters, Elsevier, vol. 164(C), pages 62-64.
    15. Araujo, Aloisio & da Silva, Pietro & Faro, José Heleno, 2016. "Ambiguity aversion in the long run: “To disagree, we must also agree”," Journal of Economic Theory, Elsevier, vol. 165(C), pages 242-256.
    16. Michel de Lara & Olivier Gossner, 2020. "Payoffs-Beliefs Duality and the Value of Information," Post-Print hal-01941006, HAL.
    17. Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021. "Information Inertia," Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
    18. Amir, Rabah & Lazzati, Natalia, 2016. "Endogenous information acquisition in Bayesian games with strategic complementarities," Journal of Economic Theory, Elsevier, vol. 163(C), pages 684-698.
    19. repec:esx:essedp:719 is not listed on IDEAS
    20. Brandt, Nikolai M. & Eckwert, Bernhard & Várdy, Felix, 2021. "Bayesian learning with variable prior," Journal of Mathematical Economics, Elsevier, vol. 97(C).
    21. Marschak, Thomas & Shanthikumar, J. George & Zhou, Junjie, 2017. "Does more information-gathering effort raise or lower the average quantity produced?," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 104-117.
    22. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).

    More about this item

    Keywords

    Informativeness;

    JEL classification:

    • D00 - Microeconomics - - General - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:werepe:we1224. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://www.eco.uc3m.es/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.