We show two surprising consequences of introducing endogenous information acquisition into an imperfectly competitive trading model characterized by a small number of traders. First, the marginal value of private information can be negative, resulting in an equilibrium with no...

We study the role of private information in the equity-lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trading aggressiveness and decreasing demand dispersion....

In the standard perfectly competitive model of costly information acquisition, private information always has a strictly positive value as long as prices are not perfectly revealing. We show that with imperfect competition, characterized by a finite number of traders, the value of private...