Dynamic price discovery: Transparency vs. information design

• 成果类型: Article
• 署名作者: Kakhbod, Ali; Song, Fei
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2020.04.009
• 发表日期: 2020
• 页码: 203-232
• 关键词: Price discovery; information disclosure; asymmetric information; Heterogenous risk-aversion; incentive; Public offer vs. private offer

摘要

This paper studies how information design, via public disclosure of past trade details, affects price discovery in a dynamic market. We model that an informed forward-looking buyer sequentially trades with a series of uninformed sellers (hedgers) with heterogenous hedging motives. We discover that sellers' price discovery over the underlying hidden fundamentals is crucially affected by what they can observe about past trade details. Specifically, (i) the availability of past trade details, paradoxically, makes it easier for the informed party to hide her private information and offer opaque prices. (ii) Post-trade price transparency delays price discovery, but once it happens, it is always perfect. (iii) In contrast, when only past order information is available, price discovery can never be perfect, and can even be in the wrong direction. Finally, we show that our findings are robust for diminishing bargaining power, non-zero outside options, and different trading positions. (C) 2020 Elsevier Inc. All rights reserved.