Strategic trading, liquidity, and information acquisition

• 成果类型: Article
• 署名作者: Mendelson, H; Tunca, TI
• 署名单位: Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg047
• 发表日期: 2004
• 页码: 295
• 关键词: BID-ASK SPREAD; earnings announcements; firm size; Market microstructure; imperfect competition; EMPIRICAL-RESEARCH; SECURITY RETURNS; informed traders; stock-prices; insider

摘要

We study endogenous liquidity trading in a market with long-lived asymmetric information. We distinguish between public information, tractable information that can be acquired, and intractable information that cannot be acquired. Besides information asymmetry and noise, the adverse-selection spread depends on the diffusion of intractable information and on the interest rate. With endogenous liquidity trading, efficiency is lower than that implied by noise-trading models. Liquidity traders benefit from the information released through the insider's trades in spite of their monetary losses. We study factors that affect the insider's information acquisition decision, including the amount of intractable information, observability, and information acquisition costs.