The supposed irrelevance of historical costs for rational decision making has been the subject of much interest in the economic literature. In this paper we explore whether individual decision making under risk is a¤ected by the cost of information. To do so one must distinguish the e¤ect of cost from self selection by individuals who value information the most. Outside of the laboratory it is A previous version of this paper was circulated under the title "Information at a Cost". y For their useful comments, we would like to thank

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