Informed Trading When Information Becomes Stale
研究了投机者在不同时间获取不同质量信号时的知情交易行为，刻画了信息变旧但仍有价值时的均衡交易、价格和利润，适合关注信息质量与市场效率的研究者。
ABSTRACT This paper characterizes informed trade when speculators can acquire distinct signals of varying quality about an asset's value at different dates. The most reasonable characterization of private information about stocks is that while information is long‐lived, new information will arrive over time, information that may be acquired by others. Hence, while a speculator may know more than others at a moment, in the future, his information will become stale, but not valueless. In an environment that allows for arbitrary correlations among signals, we characterize equilibrium outcomes including trading, prices, and profits. We provide explicit numerical characterizations for different informational environments.