Information Diversity and Complementarities in Trading and Information Acquisition

• 成果类型: Article
• 署名作者: Goldstein, Itay; Yang, Liyan
• 署名单位: University of Pennsylvania; University of Toronto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12226
• 发表日期: 2015
• 页码: 1723-1765
• 关键词: financial-markets; stock markets; liquidity; price; equilibrium; securities

摘要

We analyze a model in which different traders are informed of different fundamentals that affect the security value. We identify a source for strategic complementarities in trading and information acquisition: aggressive trading on information about one fundamental reduces uncertainty in trading on information about the other fundamental, encouraging more trading and information acquisition on that fundamental. This tends to amplify the effect of exogenous changes in the underlying information environment. Due to complementarities, greater diversity of information in the economy improves price informativeness. We discuss the relation between our model and recent financial phenomena and derive testable empirical implications.