I model a financial market in which traders acquire private information through time-
consuming research. A time cost of information arises due to competition–through the
expected adverse price movements due to others' trades–causing traders to rush to trade on
weak information. This cost monotonically increases with asset value uncertainty, so that,
exactly opposite to the result under the standard modeling assumption of a monetary cost of
information, traders acquire the least information when this uncertainty is largest. The model …