Risk Aversion, Liquidity, and Endogenous Short Horizons
分析了一个竞争模型，其中不同信息信号在不同时间点反映到价值中。如果投资者足够风险厌恶，所有投资者都会只关注短期信号。增加无信息交易方差会提高市场深度，但导致更多投资者关注短期信号，降低价格对长期的信息含量。
We analyze a competitive model in which different information signals get reflected in value at different points in time. If investors are sufficiently risk averse, we obtain an equilibrium in which all investors focus exclusively on the short term. In addition, we show that increasing the variance of informationless trading increases market depth but causes a greater proportion of investors to focus on the short-term signal, which decreases the informativeness of prices about the long run. Finally, we also explore parameter spaces under which long-term informed agents wish to voluntarily disclose their information.