Strategic trading and unobservable information acquisition

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Breon-Drish, Bradyn
• 署名单位: University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.05.007
• 发表日期: 2020
• 页码: 458-482
• 关键词: Dynamic information acquisition; Strategic trading; observability; COMMITMENT

摘要

We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. Because the trader exploits her information gradually, the equilibrium price impact and market uncertainty are unaffected by her rate of acquisition. If she pays a fixed cost to acquire lumpy information at a time of her choosing, the market can break down: we show that no equilibria exist with endogenous information acquisition. Our analysis suggests caution when applying insights from standard strategic trading models to settings with information acquisition. (C) 2020 Elsevier B.V. All rights reserved.