When Transparency Improves, Must Prices Reflect Fundamentals Better?

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
• 署名单位: University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy034
• 发表日期: 2018
• 页码: 2377
• 关键词: information acquisition; complementarities; media; FRENZIES; MARKETS; section

摘要

No. In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively more about others. Second, public disclosures discourage private learning about fundamentals, while encouraging information acquisition about others. Accordingly, disclosing more fundamental information can decrease overall informational efficiency by decreasing price informativeness.