Delay and Information Aggregation in Stopping Games with Private Information

Abstract

We consider equilibrium timing decisions in a model with informational externalities. A number of players have private information about a common payoff parameter that determines the optimal time to invest. The players learn from each other in a continuous-time multi-stage game by observing the past investment decisions. We characterize the symmetric equilibria of the game and we show that even in large games where pooled information is sufficiently accurate for first best decisions, aggregate randomness in outcomes persists. Furthermore, the best symmetric equilibrium induces delay relative to the first best.