Information Markets and the Comovement of Asset Prices
提出在理性预期框架下，信息市场的高固定成本导致投资者集中购买热门信息，使得资产价格因共享信息而产生高联动，解释了传统模型低估价格协方差的现象。
Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This paper introduces markets for information that generate high price covariance within a rational expectations framework. When information is costly, rational investors only buy information about a subset of the assets. Because information production has high fixed costs, competitive producers charge more for low-demand information than for high-demand information. The low price of high-demand information makes investors want to purchase the same information that others are purchasing. When investors price assets using a common subset of information, news about one asset affects the other assets' prices; asset prices comove. The cross-sectional and time-series properties of comovement are consistent with this explanation. Copyright 2006, Wiley-Blackwell.