摘要
本文分析了知情投资者是如何通过交易披露而相互学习的。我们发现,交易披露总是能提高市场效率,但它对知情投资者利润的影响是不确定的。当知情投资者拥有高度互补的信息时,披露会促使他们协同交易,从而获得更高的预期利润。更重要的是,当存在交易披露时,一个拥有非常不精确信息的知情投资者会更加喜欢竞争,并且比他作为唯一知情者时所获得的利润更多,因为相比市场上的做市商和流动性投资者,他能从其他知情投资者那里学到更多的东西。在信息获取是内生的情况下,可能存在羊群效应。
We analyze how informed investors can learn from each other through disclosed trades.We show that disclosure always increases market efficiency but its effect on informed investorsprofits is ambiguous.When informed investors have highly complementary signals,disclosure makes them coordinate their trades,so their expected profits are higher.Moreover,an informed investor with very imprecise information prefers competition in the presence of disclosure as they learns more from the other informed investors than the market and makes more profits than they would obtain if they is the only informed investors.There could exist herding when information acquisition is endogenous.
作者
曹辉宁
马援
叶冬艳
CAO Huining;MA Yuan;YE Dongyan(Cheung Kong Graduate School of Business;Haas School of Business,University of California at Berkeley)
出处
《经济管理学刊》
2022年第1期265-292,共28页
Quarterly Journal of Economics and Management
关键词
策略性交易
交易披露
羊群效应
Strategic Trading
Trading Disclosure
Herd Effect
