Speed Acquisition
研究了投资者在获取信息的同时如何获取交易速度，发现速度异质性会分割信息聚合过程，对价格信息含量产生非单调影响，并可能使价格发现功能失调。
Speed is a salient feature of modern financial markets. This paper studies investors’ speed acquisition together with their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance. This paper was accepted by Gustavo Manso, finance.