The tradeoff between risk sharing and information production in financial markets

• 成果类型: Article
• 署名作者: Peress, Joel
• 署名单位: INSEAD Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.03.009
• 发表日期: 2010
• 页码: 124-155
• 关键词: Information choice; learning; asymmetric information; risk sharing; Shareholder base expansion; non-expected utility; Kreps-Porteus preferences

摘要

The production of information in financial markets is limited by the extent of risk sharing. The wider a stock's investor base, the smaller the risk borne by each shareholder and the less valuable information. A firm which expands its investor base without raising capital affects its information environment through three channels: (i) it induces incumbent shareholders to reduce their research effort as a result of improved risk sharing, (ii) it attracts potentially informed investors, and (iii) it may modify the composition of the base in terms of risk tolerance or liquidity trading. Implications for individual firms and the market as a whole are derived. (C) 2009 Elsevier Inc. All rights reserved.