Abstract
We develop a continuous-time, Bayesian model of investment in information about an exhaustible resource. Because of the way that information affects expectations, the deterministic Hotelling rule turns out to be more appropriate as a description of how resource owners forecast the value of their stocks than as a predictor of observed changes in the resource price. A flow of information generates both unanticipated changes in expectations, which cause the mean rate of change in the resource price to deviate systematically from the deterministic Hotelling rule, and reductions in uncertainty, which do not affect the Hotelling prediction.
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