When Transparency Improves, Must Prices Reflect Fundamentals Better?
研究发现，在投机机会存在时，投资者会同时学习资产基本面和他人信念，且这两种学习存在互补性，因此提高透明度（如降低基本面信息获取成本）或增加公开披露可能反而降低价格的信息效率。
No. In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively more about others. Second, public disclosures discourage private learning about fundamentals, while encouraging information acquisition about others. Accordingly, disclosing more fundamental information can decrease overall informational efficiency by decreasing price informativeness. Received April 20, 2016; editorial decision September 30, 2017 by Editor Itay Goldstein.