The incentives for information acquisition in financial markets are analyzed in an integrated model of information and portfolio choice. Asset returns are assumed to be gamma distributed and signals to be Poisson. A simultaneous rational expectations equilibrium in the asset and the information market does exist. It entails a strictly positive amount of information if markets are large, asset returns relatively volatile or investors sufficiently risk averse. This resolves a long-standing no-equilibrium paradox. Just as with any public good, markets allocate information but less than socially desirable. However, the utility enhancing effect of more private information may be outweighed by the negative effect of its becoming commonly known. Information is reflected in the asset price. Shared information moves the price closer to the individually expected return, thus reducing the value of the risky asset.