Information aggregation in financial markets with career concerns

• 成果类型: Article
• 署名作者: Dasgupta, Amil; Prat, Andrea
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.01.005
• 发表日期: 2008
• 页码: 83-113
• 关键词: Financial equilibrium; career concerns; information cascades

摘要

What are the equilibrium features of a dynamic financial market in which traders care about their reputation for ability? We modify a standard sequential trading model to include traders with career concerns. We show that this market cannot be informationally efficient: there is no equilibrium in which prices converge to the true value, even after an infinite sequence of trades. We characterize the most revealing equilibrium of this game and show that an increase in the strength of the traders' reputational concerns has a negative effect on the extent of information that can be revealed in equilibrium but a positive effect on market liquidity. (C) 2008 Elsevier Inc. All rights reserved.