Dynamics of Research and Strategic Trading
研究动态研究如何影响金融市场中的信息获取，发现更频繁的公开披露可能反而促进私人信息获取、提高价格信息含量并损害流动性。
Abstract We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel implications. First, more frequent public disclosures can “crowd in” private information acquisition, increase price informativeness, and harm liquidity, instead of “leveling the playing field.” Second, observed research activity does not necessarily imply that traders are better informed. Finally, improvements in research effectiveness or higher market participation by uninformed investors can simultaneously increase price informativeness and liquidity.