Dynamics of Research and Strategic Trading

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Breon-Drish, Bradyn
• 署名单位: University of California System; University of California San Diego
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab029
• 发表日期: 2022
• 页码: 908
• 关键词: information acquisition; public information; disclosure; COMPETITION; MARKETS; search; cost; news

摘要

We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel implications. First, more frequent public disclosures can crowd in private information acquisition, increase price informativeness, and harm liquidity, instead of leveling the playing field. Second, observed research activity does not necessarily imply that traders are better informed. Finally, improvements in research effectiveness or higher market participation by uninformed investors can simultaneously increase price informativeness and liquidity.