For those that are interested, this is known as the Grossman-Stiglitz Paradox. See their original paper, "On the Impossibility of Informationally Efficient Mark

For those that are interested, this is known as the Grossman-Stiglitz Paradox. See their original paper, "On the Impossibility of Informationally Efficient Markets" (1980). In my opinion, this is one of the most important econ papers ever written. The paper itself is not too technically difficult: the model consists of CARA (i.e. exponential) utility functions and normal random variables, which results in linear demand functions. Solving for the equilibrium is possible with a little bit of linear algebra. For more recent (and much more technically difficult) treatment, you can take a look at Garleanu and Pederson (2018) ("Efficiently Inefficient Markets for Asset and Asset Management").