Who Acquires Information in Dealer Markets?
研究做市商市场中信息获取的博弈，发现交易者与做市商之间存在策略互补性，并揭示信息成本增加可能降低流动性但改善价格发现。
We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers’ gain from becoming informed. When quotes are observable, this effect in turn induces a strategic complementarity in information acquisition amongst market makers. We then derive the equilibrium pattern of information acquisition and examine the implications of our analysis for market liquidity and price discovery. We show that increasing the cost of information can decrease market liquidity and improve price discovery.