The value of diffusing information

• 成果类型: Article
• 署名作者: Manela, Asaf
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.007
• 发表日期: 2014
• 页码: 181-199
• 关键词: Value of information; Information diffusion; percolation; Media coverage; Drug approvals

摘要

How does the speed by which information diffuses affect its value to a stock market investor? In a structural model solved in closed-form, this speed has two opposing effects on the empirically dominant term of the value of information. Faster-diffusing information means quicker and less noisy profits, but, also increases competing informed trading, impounding more information into prices and eroding profits. Structural empirical analysis of stock market reaction to drug approvals using media coverage as a proxy for the transmission rate of information finds that the value of information is hump-shaped in its future transmission rate. Moreover, the estimated amount of noise trading is small. (C) 2013 Elsevier B.V. All rights reserved.