On the Effects of Restricting Short-Term Investment

• 成果类型: Article
• 署名作者: Crouzet, Nicolas; Dew-Becker, Ian; Nathanson, Charles G.
• 署名单位: Northwestern University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz053
• 发表日期: 2020
• 页码: 1
• 关键词: financial-markets; equilibrium; frequency; investors; horizons

摘要

We study the effects of policies proposed to address short-termism in financial markets. We examine a noisy rational expectations model in which investors' exposures and information about fundamentals endogenously vary across horizons. In this environment, taxing or outlawing short-term investment doesn't negatively affect the information in prices about long-term fundamentals. However, such a policy reduces short- and long-term investors' profits and utility. Changing policies about the release of short-term information can help long-term investors-an objective of some policy makers-at the expense of short-term investors. Doing so also makes prices less informative and increases costs of speculation.