讲座主题：The Social Value Of Information Uncertainty
摘要：Information acquisition can favor social welfare despite that informed trading distorts risk-sharing anddestroys trading opportunities. We analyze a Grossman-Stiglitz economy with heterogeneous endowment shocks, where acquiring information is costly and uncertain. Investors make optimal probabilistic information choices subject to a monetary cost, which give rise to an anticipatory benefit that can improve overall welfare. Welfare improvement can be substantial when risk-sharing incentives are weak, endowment shocks are small, and information precision is moderate. Moreover, with heterogeneous endowment shocks, there can be a continuum of Pareto optimal information-acquisition equilibria.
Dr Lei Shi is a Senior Lecturer in the Department of Applied Finance at Macquarie University Business School (MQBS). He has a PhD in Finance from University of Technology Sydney (UTS). His research areas are in asset pricing and portfolio theory. He has published in the Review of Asset Pricing Studies, Journal of Economic Behavior & Organization, Journal of Banking & Finance, and Journal of Economic Dynamics & Control, among others.