The optimal sequential information acquisition structure: A rational utility-maximizing perspective

We consider a rational utility maximizer decision maker (DM) who must gather two pieces of information from a set of multidimensional products before making a choice. We analyze the resulting sequential information acquisition process where the DM tries to find the best possible product subject to his information acquisition constraint. In addition, we introduce publicly observable signals that allow the DM to update his expected utility functions following a standard Bayesian learning rule. Even though it seems intuitively plausible to assume that the transmission of positive and credible information may lead DMs to accept any product signaled more eagerly, this paper illustrates how transmitting credible positive information is not sufficient to decrease the rejection probability faced by the information sender on its set of products. A significant difference in product rejection probabilities arises depending on the characteristic on which signals are issued, as will be illustrated numerically for both risk-neutral and risk-averse DMs.