Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
在不完全市场且投资者先验信念异质的情况下，研究了公共信息对事前资本成本、交易量和投资者福利的影响，发现帕累托有效的公共信息系统具有最高的事前资本成本和预期异常交易量。
ABSTRACT In an incomplete market with heterogeneous prior beliefs, we show that public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. The Pareto efficient public information system is the system enjoying the maximum ex ante cost of capital and the maximum expected abnormal trading volume. Imperfect public information increases the gains-to-trade based on heterogeneously updated posterior beliefs. In an exchange economy, this leads to higher growth in the investors' certainty equivalents and, thus, a higher equilibrium interest rate, whereas the ex ante risk premium is unaffected by the informativeness of the public information system. Similar results are obtained in a production economy, but the impact on the ex ante cost of capital is dampened compared to the exchange economy due to welfare-improving reductions in real investments to smooth the investors' certainty equivalents over time.