Information sharing in financial markets

• 成果类型: Article
• 署名作者: Goldstein, Itay; Xiong, Yan; Yang, Liyan
• 署名单位: University of Pennsylvania; University of Hong Kong; University of Toronto
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103967
• 发表日期: 2025
• 关键词: Information sharing; Trading against error; Trading profits; asset markets

摘要

We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.