Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Mar, 1981, Volume 49, Issue 2

Value of Information with Sequential Futures Markets

https://doi.org/0012-9682(198103)49:2<335:VOIWSF>2.0.CO;2-T
p. 335-358

Jerry Green

The effects of an improvement in information on the efficiency of risk-bearing are studied under various systems of incomplete markets. With sequential futures markets for uncontingent delivery, the welfare effects are indeterminate in sign, except under special circumstances. In the presence of options markets, however, an improved information structure is almost surely beneficial.


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