Information Diversity and Market Behavior
研究投机市场中信息多样性的两个问题：一是投资者信息的独立性比准确性更能带来预期投机利润；二是市场在理性交易下能否完全有效，证明存在唯一均衡使价格完全有效且预期利润为零，但该均衡未必有限时间内达到。
ABSTRACT The paper addresses two major issues raised by information diversity in a speculative market. First, we analyze what property of an investor's information leads to an expected speculative profit and show that independence is more important than accuracy. Second, we consider whether the market price must become fully efficient, in the sense that every investor's information is accurately discounted, when traders use it rationally as an information source. We prove that for any information structure there is a unique equilibrium weighting of investor beliefs at which the price is fully efficient and also every trader's expected profit is zero. Except for special structures, however, this equilibrium need not be attained in finite time.