{"title":"信息获取、市场专业人员和全权流动性交易","authors":"","doi":"10.1016/j.frl.2024.106039","DOIUrl":null,"url":null,"abstract":"<div><p>We analyze an insider trading strategy and market professionals’ information acquisition strategies, and explore their impact on market liquidity and price efficiency in endogenous noise trading. Our findings highlight the negative precision effect on market professionals’ information acquisition. With an increase in market professionals, two opposing effects emerge on market liquidity and price efficiency: the strategic complementarity effect and the precision effect. However, the negative precision effect predominates, which impairs market liquidity and price efficiency. Furthermore, enhancing the ex-ante precision of the risky asset or adjusting liquidity compensation reduces market professionals’ involvement in information acquisition, leading to diminished price efficiency.</p></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":null,"pages":null},"PeriodicalIF":7.4000,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Information acquisition, market professional and discretionary liquidity trading\",\"authors\":\"\",\"doi\":\"10.1016/j.frl.2024.106039\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We analyze an insider trading strategy and market professionals’ information acquisition strategies, and explore their impact on market liquidity and price efficiency in endogenous noise trading. Our findings highlight the negative precision effect on market professionals’ information acquisition. With an increase in market professionals, two opposing effects emerge on market liquidity and price efficiency: the strategic complementarity effect and the precision effect. However, the negative precision effect predominates, which impairs market liquidity and price efficiency. Furthermore, enhancing the ex-ante precision of the risky asset or adjusting liquidity compensation reduces market professionals’ involvement in information acquisition, leading to diminished price efficiency.</p></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2024-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612324010699\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612324010699","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Information acquisition, market professional and discretionary liquidity trading
We analyze an insider trading strategy and market professionals’ information acquisition strategies, and explore their impact on market liquidity and price efficiency in endogenous noise trading. Our findings highlight the negative precision effect on market professionals’ information acquisition. With an increase in market professionals, two opposing effects emerge on market liquidity and price efficiency: the strategic complementarity effect and the precision effect. However, the negative precision effect predominates, which impairs market liquidity and price efficiency. Furthermore, enhancing the ex-ante precision of the risky asset or adjusting liquidity compensation reduces market professionals’ involvement in information acquisition, leading to diminished price efficiency.
期刊介绍：
Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies.
Papers are invited in the following areas:
Actuarial studies
Alternative investments
Asset Pricing
Bankruptcy and liquidation
Banks and other Depository Institutions
Behavioral and experimental finance
Bibliometric and Scientometric studies of finance
Capital budgeting and corporate investment
Capital markets and accounting
Capital structure and payout policy
Commodities
Contagion, crises and interdependence
Corporate governance
Credit and fixed income markets and instruments
Derivatives
Emerging markets
Energy Finance and Energy Markets
Financial Econometrics
Financial History
Financial intermediation and money markets
Financial markets and marketplaces
Financial Mathematics and Econophysics
Financial Regulation and Law
Forecasting
Frontier market studies
International Finance
Market efficiency, event studies
Mergers, acquisitions and the market for corporate control
Micro Finance Institutions
Microstructure
Non-bank Financial Institutions
Personal Finance
Portfolio choice and investing
Real estate finance and investing
Risk
SME, Family and Entrepreneurial Finance
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
