Costly Information Acquisition, Social Networks, and Asset Prices: Experimental Evidence

• 成果类型: Article
• 署名作者: Halim, Edward; Riyanto, Yohanes E.; Roy, Nilanjan
• 署名单位: City University of Hong Kong; Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12768
• 发表日期: 2019
• 页码: 1975-2010
• 关键词: rational-expectations; prediction markets; EFFICIENCY; TRADE; ask; complementarities; overconfidence; portfolio; crashes; bubbles

摘要

We design an experiment to study the implications of information networks for incentives to acquire costly information, market liquidity, investors' earnings, and asset price characteristics in a financial market. Social communication crowds out information production as a result of an agent's temptation to free ride on the signals purchased by her neighbors. Although information exchange among traders increases trading volume, improves liquidity, and enhances the ability of asset prices to reflect the available information in the market, it fails to improve price informativeness. Net earnings and social welfare are higher with information sharing due to reduced acquisition of costlysignals.