Clientele, Information Sales and Asset Prices

Abstract

We study the joint determination of information sales and equilibrium asset pricing in an economy with two information sellers and one risky asset with multiple uncertainties. We Önd that the information market structure (e.g., whether the sold information is similar or distinct, and how sellers and investors share the trading proÖt) has important implications for seller-investor clientele formation and asset pricing. First, two sellers could have either orthogonal or overlapping clientele, which depends on the similarity of sellersíinformation. Second, when two sellersíinformation is distinct and they have large bargaining power in sharing trading proÖt, investorsí information purchase exhibits complementarity, and multiple equilibria could occur. Third, information-market structure has non-trivial implications on asset-market qualities.