Equilibrium Information Acquisition, Prediction Abilities and Asset Prices

The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk attitudes and prediction abilities. The results demonstrate the influence of information cost, the volatility of risky asset value, investors' risk aversion, and prediction abilities on the Nash equilibrium of information acquisition