Information Processing and Information Evaluation if Information Effected Changes of the Equilibirum Prices are Considered

Abstract

In Sec. 2, it was assumed that the prices at the beginning of the period are exogeneously given and not influenced by the information activity. Now the information problems are treated within the framework of a market model. The presupposed equilibrium prices reflect the expectations of the investors and change correspondingly, if the expectations of the market participants are influenced by an information activity. Information activity is here interpreted as the observation of an information system by a defined group of investors where it is presupposed that the other investors do not obtain any additional information, and that their expectations, correspondingly, do not change. Such a consideration, of course, is only possible for a capital market model which allows heterogeneous expectations. For even if prior all investors have homogeneous expectations, the information activity usually¹⁾ leads to posterior inhomogeneous expectations. In Sec. 3.1, first the hybrid model for one investor introduced in Sec. 2.1 is extended to a market model, and the equilibrium prices are explicitly determined. Then information systems are considered, and information values corresponding to two alternative scenarios are defined and explicitly determined for them. In order to keep the representation clear, only the situations of theorem 3 and theorem 5 are more precisely dealt with, i.e. the basic hybrid model and unbiased, normally distributed estimators of the end-of-period prices²⁾ are presupposed.