Trading Costs and Informational Efficiency
研究交易成本如何影响金融市场的信息汇集与获取，发现投资者事前相同时价格信息含量与交易成本无关，而异质性时影响方向取决于异质性来源，并讨论对金融交易税政策的启示。
ABSTRACT We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex ante identical: price informativeness is independent of the level of trading costs. When investors are ex ante heterogeneous, a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear, and fixed costs. Through a reduction in information acquisition, trading costs reduce price informativeness. We discuss how our results inform the policy debate on financial transaction taxes/Tobin taxes.