Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage
研究了公司价值受交易内生影响时，投机者交易信息的激励，发现反馈效应使买入好消息比卖出坏消息更有利，导致坏消息融入价格更慢，可能引发过度投资。
We analyze strategic speculators’ incentives to trade on information in a model where firm value is endogenous to trading, due to feedback from the financial market to corporate decisions. Trading reveals private information to managers and improves their real decisions, enhancing fundamental value. This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news. This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information. Thus, bad news is incorporated more slowly into prices than good news, potentially leading to overinvestment.