Information tradeoffs in dynamic financial markets

• 成果类型: Article
• 署名作者: Avdis, Efstathios
• 署名单位: University of Alberta
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.11.005
• 发表日期: 2016
• 页码: 568-584
• 关键词: information acquisition; Dynamic financial markets; rational expectations; market efficiency; complementarities

摘要

In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as noise, in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors disentangle dividend information from discount-rate information contained in prices. For uninformed investors, however, as more informed investors enter the economy prices become more informative about dividends but less informative about discount rates. This tradeoff creates complementarities in information acquisition and multiple equilibria in the information market. (C) 2016 Elsevier B.V. All rights reserved.