Catching Falling Knives: Speculating on Liquidity Shocks

• 成果类型: Article
• 署名作者: Colliard, Jean-Edouard
• 署名单位: Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2440
• 发表日期: 2017
• 页码: 2573-2591
• 关键词: supply information; nonfundamental uncertainty; MARKET CRASHES; arbitrage; High-frequency trading

摘要

Many market participants invest resources to acquire information about liquidity rather than fundamentals. I show that agents using such information can reduce the magnitude of short-lived pricing errors by trading against liquidity shocks. However, the short-run stabilizing effect of this behavior also makes it more difficult to identify liquidity shocks, a signal-jamming effect that slows down price discovery in the long run. As more agents invest in nonfundamental information, market prices become more resilient to liquidity shocks but also recover more slowly from temporary price deviations.