Speed Acquisition

• 成果类型: Article
• 署名作者: Huang, Shiyang; Yueshen, Bart Zhou
• 署名单位: University of Hong Kong; INSEAD Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3669
• 发表日期: 2021
• 页码: 3492-3518
• 关键词: speed; INFORMATION; TECHNOLOGY; Price discovery; Price informativeness

摘要

Speed is a salient feature of modern financial markets. This paper studies investors' speed acquisition together with their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance.