Information arrival, delay, and clustering in financial markets with dynamic freeriding

• 成果类型: Article
• 署名作者: Aghamolla, Cyrus; Hashimoto, Tadashi
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Yeshiva University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.011
• 发表日期: 2020
• 页码: 27-52
• 关键词: Informational freeriding; Information provision; endogenous timing; information acquisition; herding

摘要

We study informational freeriding in a model where agents privately acquire information and then decide when to reveal it by taking an action. Examples of such freeriding are prevalent in financial markets, e.g., the timing of initial public offerings, analysts' forecasts, and mutual funds' investment decisions. The main results show that, in large populations, few agents provide significant information while the vast majority of agents freeride. We highlight the role of uncertainty and market size in shaping the dynamics of price discovery. Among other results, we find that heightened uncertainty over the underlying state enhances information production, yet weakens the precision and speed of information aggregation in the market. (C) 2020 Elsevier B.V. All rights reserved.