Anat R. Admati and Paul Pfleiderer
Journal of Economic Theory, Vol. 39, Issue 2, Pages 400–438
We analyze a model where traders buy information from a monopolistic seller, which is subsequently used in a speculative market. In order to overcome the dilution in the value of information due to its leakage through informative prices, the seller of information may prefer to sell noisier versions of the information he actually has. Moreover, to obtain higher profits, it is desirable for the seller to sell different signals to different traders, so that the added noise realizations do not affect equilibrium prices. One way of doing so, which does not require discrimination, is to sell identically distributed personalized signals to each of a large number of traders.