Does Algorithmic Trading Reduce Information Acquisition?

• 成果类型: Article
• 署名作者: Weller, Brian M.
• 署名单位: Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx137
• 发表日期: 2018
• 页码: 2184
• 关键词: STOCK SPLITS; price; MARKET; earnings; INVESTMENT; volume; trades

摘要

I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of prices and a comprehensive panel of 54,879 stock-quarters of Securities and Exchange Commission (SEC) market data, I establish instead that the amount of information in prices decreases by 9% to 13% per standard deviation of AT activity and up to a month before scheduled disclosures. AT thus may reduce price informativeness despite its importance for translating available information into prices.