Information acquisition in financial markets

Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain c losed-form solutions. We present an example with alternative assumptions, a nd demonstrate that some of the conclusions from previous literature fail t o hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore b e a strategic complement, allowing for the possibility of multiple equilibr ia.