Funding Constraints and Informational Efficiency

• 成果类型: Article
• 署名作者: Glebkin, Sergei; Gondhi, Naveen; Kuong, John Chi-Fong
• 署名单位: INSEAD Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa124
• 发表日期: 2021
• 页码: 4269
• 关键词: ASYMMETRIC-INFORMATION; MARKETS; acquisition; WEALTH; complementarities; liquidity; contagion; MODEL; aggregation; equilibrium

摘要

We analyze a tractable rational expectations equilibrium model with margin constraints. We argue that constraints affect and are affected by informational efficiency, leading to a novel amplification mechanism. A decline in wealth tightens constraints and reduces investors' incentive to acquire information, lowering price informativeness. Lower informativeness, in turn, increases the risk borne by financiers who fund trades, leading them to further tighten constraints faced by investors. This information spiral leads to (a) significant increases in risk premium and return volatility in crises, when investors wealth declines, (b) complementarities in information acquisition in crises, and (c) complementarities in margin requirements.