Price Formation in Markets with Trading Delays
研究了交易延迟如何影响信息汇集与信息获取，发现延迟越长，知情交易者比例越低，价格信息含量越少，并用英国公司债市场数据验证了理论。
We develop a parsimonious price formation model to study information aggregation and information acquisition in the presence of trading delays. If delays apply uniformly to uninformed and informed traders, the level of delays does not affect information aggregation. Traders’ information acquisition incentives are, however, weaker in a market with longer delays. Therefore, the equilibrium fraction of informed traders is lower if delays are longer, establishing an inverse relationship between trading delays and price informativeness. We also show that risk premia and price dispersion tend to be nonmonotonic functions of the level of delays when information acquisition is endogenous. We document novel empirical evidence from the UK corporate bond market, which largely corroborates the implications of our theory. This paper was accepted by Bruno Biais, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2020.01400 .