金融市场的信息共享

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-11-06 DOI:10.1016/j.jfineco.2024.103967

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引用次数: 0

摘要

我们研究了掌握资产基本面信息的战略投资者之间的信息共享。我们证明，如果对手投资者信息灵通，信息粗略的投资者会最优化地选择共享信息。通过分享信息，信息粗略的投资者会邀请其他投资者根据他的信息进行交易，从而减少对价格的影响。矛盾的是，信息灵通的投资者会因接收信息而蒙受损失，因为这会导致市场流动性恶化，信息粗略的投资者会进行更激进的交易。我们的分析揭示了投资者之间的私人交流和社交媒体上的公共信息共享等现象。

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Information sharing in financial markets

We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.