Information Quality and Market Efficiency
分析投资者在信息获取成本存在时的最优行为，并确定均衡时股价包含的信息量，发现小盘股价格可能未完全反映公开信息，且报纸发布公开信息会影响股价。
The purpose of this paper is to analyze the optimal individual behavior in acquiring infor? mation and to determine the amount of information incorporated in a stock at equilibrium, in the presence of a cost schedule in acquiring information. Our paper shows that at equi? librium the cost to acquire information that is not already incorporated in the price de? pends only on the representative investor's risk preferences. It follows that the marginal information costs are the same across all stocks at equilibrium even though the stock's information costs schedules may differ. This suggests that the prices of small stocks may not incorporate all publicly available information. This paper also provides empirical evi? dence that newspapers' publication of publicly available information can affect the stock prices.