This paper explores whether the use of information is affected by its ex-ante costs. Outside of the lab, it is highly problematic to distinguish the effect of the cost of information itself from the effect of self-selection of individuals who have most to gain from this information. To examine this, we create in the lab an informationally complex setting in which individuals have to make an investment decision. Individuals are offered additional, helpful and identical information on the state of the world across treatments. In exchange for this information, individuals have to incur different cost levels in different treatments. Our design allows us to distinguish between selection effects, sunk cost effects, and other behavioral effects. Our main hypothesis is that individuals who incurred higher costs of information react more strongly to the available information, which is confirmed by our preliminary results.