The Fragility of Price Informativeness
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper investigates the influence of uncertainty on information acquisition in financial markets with information asymmetries. Using a variation of the Kyle (1985) model, we analyze the interactions among short-horizon informed traders, linking information acquisition to different levels of fundamental uncertainty. Expectations of future changes in information acquisition shape current trading incentives, impacting subsequent information acquisition. This feedback can lead to a self-fulfilling collapse of price informativeness. Our findings suggest that either too little or too much fundamental volatility may result in uninformative prices, creating market fragility.
Abstract
This paper investigates the influence of uncertainty on information acquisition in financial markets with information asymmetries. Using a variation of the Kyle (1985) model, we analyze the interactions among short-horizon informed traders, linking information acquisition to different levels of fundamental uncertainty. Expectations of future changes in information acquisition shape current trading incentives, impacting subsequent information acquisition. This feedback can lead to a self-fulfilling collapse of price informativeness. Our findings suggest that either too little or too much fundamental volatility may result in uninformative prices, creating market fragility.
참고문헌 (13)
- Bushee, B. J., "The Influence of Institutional Investors on Myopic R&D Investment Behavior", The Accounting Review, 73(3), pp.305~333 (1998)
- Dow, J., "The Paradox of Financial Fire Sales: The Role of Arbitrage Capital in Determining Liquidity", Journal of Finance, 73(1), pp.229~274 (2018)
- Dow, J., "Hysteresis in Price Efficiency and the Economics of Slow-Moving Capital", The Review of Financial Studies, 34(6), pp.2857~2909 (2021)
- Dow, J, "The Short-Termism Trap: Catering to Informed Investors", Journal of Financial Economics
- Grossman, S. J., "On the Impossibility of Informationally Efficient Markets", The American Economic Review, 70(3), pp.393~408 (1980)
- Grundy, B. D., "Trade and the Revelation of Information through Prices and Direct Disclosure", The Review of Financial Studies, 2(4), pp.495~526 (1989)
- Han, J., "Searching for information", Journal of Economic Theory, 175, pp.342~373 (2018)
- Guo, M., "Feedback Trading Between Fundamental and Nonfundamental Information", Review of Financial Studies, 28(1), pp.247~296 (2015)
- Hellwig, M. F., "On the Aggregation of Information in Competitive Markets", Journal of Economic Theory, 22, pp.477~498 (1980)
- Hou, K., "Market Frictions, Price Delay, and the Cross-Section of Expected Returns", Review of Financial Studies, 18, pp.981~1020 (2005)
- Kyle, A. S., "Continuous Auctions and Insider Trading", Econometrica, 53(6), pp.1315~ (1985)
- Sims, C. A., "Implications of rational inattention", Journal of Monetary Economics, 50(3), pp.665~690 (2003)
- Zhang, X. F., "Information Uncertainty and Stock Returns", Journal of Finance, 61(1), pp.105~137 (2006)