Recent results on efficient information aggregation in a competitive (auction) or a Cournot market with constant marginal cost and private information about the uncertain demand suggest that there is no welfare loss with respect to the full information first best in competitive markets with incomplete information. For these results to hold it is usually assumed that information is exogenous and that agents do not observe any aggregate market statistic before making their decisions.
This conjecture is examined by the author in the context of the Cournot model by analyzing the asymptotic properties of Bayesian-Cournot equilibria under different assumptions about technology, the information acquisition process, and market observables.
Two main conclusions are drawn: First, in large Cournot markets with incomplete information there exists a welfare loss with respect to the first best, and second, taking as given the decentralized private information structure of the economy, it turns out that a competitive market is second best efficient. These results hold except for the case of constant returns environments.