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Mensuel de octobre 2021 - Fonds d’investissement

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Research in Finance: On the value of information
By Dr. Michel VERLAINE, ICN Business School   Information is obviously of high importance for economic decision makers. In financial economics, equilibria are typically analysed without frictions, namely taxes, transaction costs and asymmetry of information. The Efficient Market Hypothesis presumes that asymmetry of information is “limited” and information is rapidly integrated into asset prices. In a famous paper, Grossman and Stiglitz (1980) showed that financial markets cannot be fully efficient as information is costly to extract and process, thus some efficiency needs to exist for asset managers to make profit on the extracted information. This leads to the fundamental question of what information is and what its value is?   To make the...
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