Risk-neutral investors do not acquire information |
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| Institution: | 1. Department of Food Science, Purdue University, West Lafayette, IN 47907, USA;2. Department of Nutrition Science, Purdue University, West Lafayette, IN 47907, USA;3. Department of Human Nutrition, The Ohio State University, Columbus, OH, USA;1. Department of Gynaecology and Obstetrics, The Second Affiliated Hospital of Xi''an Jiaotong University, Xi''an 710004, China;2. Department of Neurosurgery, The Second Affiliated Hospital of Xi''an Jiaotong University, Xi''an 710004, China;3. Department of General Surgery, The First Affiliated Hospital of Xi''an Jiaotong University, Xi''an 710061, China;1. Petroleo Brasileiro SA and Department of Electrical Engineering, Pontifical Catholic University from Rio de Janeiro (PUC-Rio), Rio de Janeiro, RJ 22453-900, Brazil;2. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, USA;3. Department of Electrical Engineering, Pontifical Catholic University from Rio de Janeiro (PUC-Rio), Rio de Janeiro, RJ 22453-900, Brazil |
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| Abstract: | Give a risk-neutral investor the choice to acquire a costly signal prior to asset market equilibrium. She refuses to pay for the signal under general conditions. The reason is that a risk-neutral investor is indifferent between a risky asset or a safe bond in optimum and expects the same return to her portfolio ex ante, whether or not she acquires information. Risk neutrality thus implies the absence of costly information from asset price in competitive asset markets. |
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