Supplementary online material to “ Information tradeoffs in dynamic financial markets ”
نویسنده
چکیده
In this document I address how the information-market equilibrium works in an economy with more than two periods by deriving the value of information in the limiting case of continuous time and infinite horizon. This is meant as a robustness check to show that complementarities obtain even when the model features interim dividend payouts, interim consumption and a long horizon. A further motivation for this derivation is to connect with existing literature, namely the asset-pricing study of exogenous asymmetric information of Wang (1993). I use that model for the financial market and derive the corresponding equilibrium in the information market. The economy is made up of a continuum of ex-ante identical investors of total mass one. Every investor has constant-absolute-risk-aversion (CARA) preferences with coefficient δ. Everyone can invest in a safe bond with constant interest rate r and in a risky stock the dividend process of which is dDt = φD(μt −Dt)dt+ σDdB D t , (1)
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