Estimating the Value of Information
推导了动态环境中价格接受投资者信息价值的一般表达式，并利用期权价格变化估计了主要宏观经济指标（如GDP、就业）的私人信息价值，发现消费者投资者愿意支付财富的3到5个基点来提前获知这些指标。
We derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation. We study the value of both private and public information and break it into its instrumental and psychic parts. To illustrate, we estimate and rank the values of leading macroeconomic indicators (GDP, employment, etc.). Using variations in option prices, we find that consumer-investors with conventional preference parameters would pay 3 to 5 bps of their wealth for a one-time private peek into these indicators. Such signals provide substantial instrumental value but a minor psychic value.Received August 29, 2016; editorial decision June 6, 2018 by Editor Itay Goldstein. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.