In this paper we analyze the profitability of information sharing among Cournot oligopolists receiving private information about random demand. We model the random demand as a linear demand having, 1) an unknown intercept, and 2) an unknown slope. In each of these two scenarios, firms observe private signals about the unknown parameter. We show that in the scenario-1, if the private signal observed by firms is accurate enough, information exchange is profitable and in the scenario-2, if there is a sufficiently large variation in the demand slope and private signals are accurate enough, firms earn strictly higher profits by sharing their information rather than keeping it private.