Information percolation in segmented markets

• 成果类型: Article
• 署名作者: Duffie, Darrell; Malamud, Semyon; Manso, Gustavo
• 署名单位: Stanford University; Swiss Finance Institute (SFI); University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.05.006
• 发表日期: 2014
• 页码: 1-32
• 关键词: Over-the-counter markets; information transmission; learning; search

摘要

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including initial information precision, and also in terms of market connectivity, the expected frequency of their bilateral trading opportunities. We characterize endogenous information acquisition and show how learning externalities affect information gathering incentives. More liquid markets lead to higher equilibrium information acquisition when the gains from trade and market duration are sufficiently large. On the other hand, for a small market duration, the opposite may occur if agents vary sufficiently in terms of their market connectivity. (C) 2014 Published by Elsevier Inc.