PUB - Publikationen an der Universität Bielefeld

It is known that Blackwell's (1953, Ann. Math. Statist.24, 265–272) theorem, according to which more information always has positive value, does not hold in many economic circumstances. In particular, in exchange economies with random endowments it may fail completely. We show that in certain economies with risk averse consumers and risk neutral producers the Blackwell theorem holds in competitive equilibrium, given that risk sharing markets are absent. However, in the presence of a risk sharing market it is shown that for CRRA utility functions all agents may become (weakly) worse off with better information.