Aggregation and design of information in asset markets with adverse selection

• 成果类型: Article
• 署名作者: Asriyan, Vladimir; Fuchs, William; Green, Brett
• 署名单位: Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Centre for Economic Policy Research - UK; Universidad Carlos III de Madrid; Washington University (WUSTL)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105124
• 发表日期: 2021
• 关键词: Information aggregation; information design; decentralized markets; adverse selection; Optimal information policy; TRANSPARENCY

摘要

How effectively does a decentralized marketplace aggregate information that is dispersed throughout the economy? We study this question in a dynamic setting where sellers have private information that is correlated with an unobservable aggregate state. In any equilibrium, each seller's trading behavior provides an informative and conditionally independent signal about the aggregate state. We ask whether the state is revealed as the number of informed traders grows large. Surprisingly, the answer is no; we provide conditions under which information aggregation necessarily fails. In another region of the parameter space, aggregating and non-aggregating equilibria coexist. We solve for the optimal information policy of a social planner who observes trading behavior. We show that non-aggregating equilibria are always constrained inefficient. The optimal information policy Pareto improves upon the laissez-faire outcome by concealing information about trading volume when it is sufficiently high. (C) 2020 The Authors. Published by Elsevier Inc.