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  • Econometrica

Value of Information with Sequential Futures Markets

By: Jerry R. Green
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Abstract

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.

Keywords

Information; Financial Markets; Mathematical Methods

Citation

Green, Jerry R. "Value of Information with Sequential Futures Markets." Econometrica 49, no. 2 (March 1981): 335–358.
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About The Author

Jerry R. Green

Negotiation, Organizations & Markets
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    • January 2011
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    Let the Right One In: A Microeconomic Approach to Partner Choice in Mutualisms

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More from the Author
  • Two Representations of Information Structures and Their Comparisons By: Jerry R. Green and Nancy L. Stokey
  • Assent-maximizing Social Choice By: Katherine A. Baldiga and Jerry R. Green
  • Let the Right One In: A Microeconomic Approach to Partner Choice in Mutualisms By: Marco Archetti, Francisco Ubeda, Drew Fudenberg, Jerry R. Green, Naomi E. Pierce and Douglas W. Yu
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