Market Power and Price Informativeness

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Nosal, Jaromir; Sundaresan, Savitar
• 署名单位: Imperial College London; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae077
• 发表日期: 2025
• 页码: 1955-1986
• 关键词: institutional investors; asset prices; equilibrium; acquisition; EFFICIENCY; MODEL

摘要

We study the distributional effects of asset ownership on price informativeness in a general equilibrium model. The model features investors (oligopolists) with different degrees of price impact and abilities to learn about individual asset payoffs from private and price signals, and a competitive fringe that only learns from asset prices. We show that price informativeness is non-monotonic in the oligopolists' aggregate size, decreasing in the sector's concentration and in the size of the passive sector. We further show that the size effect can be decomposed into a learning channel capturing investors' quality of private signals and an information pass-through channel measuring the sensitivity of investors' trades to private signals, with the latter one being the primary source of variation in price informativeness relative to the size distribution.