Social Networks, Information Acquisition, and Asset Prices
研究了社交网络中的信息交流如何影响金融市场效率，发现当信息是内生时，社交沟通会挤出信息生产，反而损害市场效率。
We analyze a rational expectations equilibrium model to explore the implications of information networks for the financial market. When information is exogenous, social communication improves market efficiency. However, social communication crowds out information production due to traders' incentives to “free ride” on informed friends and on a more informative price system. Overall, social communication hurts market efficiency when information is endogenous. The network effects on the cost of capital, liquidity, trading volume, and welfare are also sensitive to whether information is endogenous. Our analysis highlights the importance of information acquisition in examining the implications of information networks for financial markets. This paper was accepted by Wei Xiong, finance.