On the Effects of Restricting Short-Term Investment
研究限制短期投资的政策效果，发现征税或禁止短期交易不损害价格对长期基本面的信息含量，但会降低投资者利润和效用；改变短期信息披露政策则有利于长期投资者但降低价格信息性并增加投机成本。
Abstract We study the effects of policies proposed to address “short-termism” in financial markets. We examine a noisy rational expectations model in which investors’ exposures and information about fundamentals endogenously vary across horizons. In this environment, taxing or outlawing short-term investment doesn’t negatively affect the information in prices about long-term fundamentals. However, such a policy reduces short- and long-term investors’ profits and utility. Changing policies about the release of short-term information can help long-term investors—an objective of some policy makers—at the expense of short-term investors. Doing so also makes prices less informative and increases costs of speculation. Received June 24, 2018; editorial decision February 19, 2019 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.