Learning from Trades

• 成果类型: Article
• 署名作者: Mauring, Eeva
• 署名单位: University of Vienna
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12484
• 发表日期: 2017
• 页码: 827-872
• 关键词: Asymmetric information; MARKET; search; equilibrium

摘要

I study stationary cut-off-strategy equilibria of a dynamic market model where buyers sample sellers sequentially from an unknown distribution. Buyers learn about the distribution from the sampled sellers and a trade signal'. The trade signal reveals whether a randomly chosen seller traded yesterday. Observing a trade (as opposed to no trade) is good news about the distribution. Buyers who observe a trade use a higher cut-off than buyers who observe no trade, despite buyers' learning from sampled sellers that puts a countervailing pressure on the cut-offs. The trade signal may reduce market efficiency, while an appropriate exogenous signal increases efficiency.