We consider a continuous time market model, in which agents influence asset prices.
The agents are assumed to be rational and maximizing expected utility from terminal
wealth. They share the same utility function but are allowed to possess different levels
of information. Technically our model represents a stochastic differential game with
anticipative strategy sets. We derive necessary and sufficient criteria for the existence
of Nash-equilibria and characterize them for various levels of information asymmetry.
Furthermore we study in how far the asymmetry in the level of information influences
Nash-equilibria and general welfare. We show that under certain conditions in a
competitive environment an increased level of information may in fact lower the level of
general welfare. This effect can not be observed in representative agent based models,
where information always increases welfare. Finally we extend our model in a way, that
we add prior stages, in which agents are allowed to buy and sell information from each
other, before engaging in trading with the market assets. We determine equilibrium
prices for particular pieces of information in this setup