Do we know the value of information? Heterogeneous effects in the demand for information

This research explores experimentally whether information acquisition depends on the biases in learning and whose strategy is implemented in a Bayesian learning task. In the first section of the experiment, participants report their expected posterior for them and another participants. I measured the deviation from Bayes’ rule for each participant. In the second section, I elicit the willingness to pay to observe signal and implement a rule based on their posterior beliefs. On average, participants expect others to have the same posterior beliefs. However, participants exhibit a larger willingness to pay for a signal realization when they implement their strategy rather than the strategy of another participant. Finally, participants value information less when they are more conservative in their posterior relative to Bayes rule.