Strategic Trading, Liquidity, and Information Acquisition
研究长期信息不对称市场中内生流动性交易，区分可获取与不可获取信息，分析逆向选择价差的影响因素，并探讨内幕交易者信息获取决策的影响因素。
We study endogenous liquidity trading in a market with long-lived asymmetric information. We distinguish between public information, tractable information that can be acquired, and intractable information that cannot be acquired. Besides information asymmetry and noise, the adverse-selection spread depends on the diffusion of intractable information and on the interest rate. With endogenous liquidity trading, efficiency is lower than that implied by noise-trading models. Liquidity traders benefit from the information released through the insider's trades in spite of their monetary losses. We study factors that affect the insider's information acquisition decision, including the amount of intractable information, observability, and information acquisition costs. Copyright 2004, Oxford University Press.