Short-Term Investment and the Informational Efficiency of the Market
研究投资者期限对价格信息含量的影响，发现短期投资在信息集中到达时降低信息效率，在信息分散到达时提升信息效率。
A dynamic finite-horizon market for a risky asset with a continuum of risk-averse heterogeneously informed investors and a risk-neutral competitive market-making sector is examined. The article analyzes the effect of investors' horizons on the information content of prices. It is shown that short horizons enhance or reduce accumulated price informativeness depending on the temporal pattern of private information arrival. With concentrated arrival of information, short horizons, reduce final price informativeness; with diffuse arrival of information, short horizons enhance it. In the process a closed-form solution to the dynamic equilibrium with long-term investors is derived.