Dynamic Information Regimes in Financial Markets

• 成果类型: Article
• 署名作者: Glasserman, Paul; Mamaysky, Harry; Shen, Yiwen
• 署名单位: Columbia University; Hong Kong University of Science & Technology
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.01213
• 发表日期: 2024
• 页码: 6069-6092
• 关键词: finance: asset pricing; asymmetric information; financial crises; information dynamics; general equilibrium

摘要

We develop a model of investor information choices and asset prices in which the availability of information about fundamentals is time-varying and responds to investor demand for information. A competitive research sector produces more information when more investors are willing to pay for that research. This feedback, from investor willingness to pay for information to more information production, generates two regimes in equilibrium, one having high prices and low volatility, the other the opposite. The low price, high-volatility regime is associated with greater information asymmetry between informed and uninformed investors. Information dynamics move the market between regimes, creating large price drops even with no change in fundamentals. In our calibration, the model suggests an important role for information dynamics in financial crises.