Within an anticipative stochastic calculus framework, we study a market game
with asymmetric information and feedback effects. We derive necessary and
sufficient criteria for the existence of Nash equilibria and study how general
welfare is affected by the level of information. In particular, we show that,
under certain conditions in a competitive environment, an increased level of
information may in fact lower the level of general welfare, leading to the
so-called Hirshleifer effect (see Hirshleifer (1971)). Finally, we determine
equilibrium prices for particular pieces of information, by extending our
market game with a pre-stage, in which information is traded.