VALUING OTHERS’ INFORMATION UNDER IMPERFECT EXPECTATIONS

Sometimes we believe that others receive harmful information.However, Marschak’s value of information framework alwaysassigns non-negative value under expected utility: it starts from the decisionmaker’s beliefs – and one can never anticipate information’s harmfulnessfor oneself. The impact of decision makers’ capabilities to processinformation and of their expectations remains hidden behind theindividual and subjective perspective Marschak’s framework assumes. Byintroducing a second decision maker as a point of reference, this paperintroduces a way for evaluating others’ information from a cross-individual,imperfect expectations perspective for agents maximising expectedutility. We define the cross-value of information that can become negative– then the information is “harmful” from a cross-individual perspective– and we define (mutual) cost of limited information processing capabilitiesand imperfect expectations as an opportunity cost from this samepoint of reference. The simple relationship between these two expectedutility-based concepts and Marschak’s framework is shown, and we discussevaluating short-term reactions of stock market prices to new informationas an important domain of valuing others’ information.