Abstract

http://ssrn.com/abstract=1909501
 
 

References (41)



 


 



Information Diversity and Complementarities in Trading and Information Acquisition


Itay Goldstein


University of Pennsylvania - The Wharton School - Finance Department

Liyan Yang


University of Toronto - Rotman School of Management

January 1, 2014

Journal of Finance, Forthcoming
Rotman School of Management Working Paper No. 1909501

Abstract:     
We analyze a model where different traders are informed of different fundamentals that affect the security value. We identify a source for strategic complementarities in trading and information acquisition: The aggressive trading on information about one fundamental reduces the uncertainty in trading on information about the other fundamental, encouraging more trading and information acquisition on that fundamental. This tends to amplify the effect of exogenous changes in the underlying information environment. Due to complementarities, greater diversity of information in the economy improves price informativeness. We discuss the relation between our model and recent financial phenomena and derive testable empirical implications.

Number of Pages in PDF File: 98

Keywords: information diversity, uncertainty reduction effect, price informativeness, complementarity

JEL Classification: G14, G12, G11, D82

Accepted Paper Series





Download This Paper

Date posted: August 16, 2011 ; Last revised: March 13, 2014

Suggested Citation

Goldstein, Itay and Yang, Liyan, Information Diversity and Complementarities in Trading and Information Acquisition (January 1, 2014). Journal of Finance, Forthcoming; Rotman School of Management Working Paper No. 1909501. Available at SSRN: http://ssrn.com/abstract=1909501 or http://dx.doi.org/10.2139/ssrn.1909501

Contact Information

Itay Goldstein
University of Pennsylvania - The Wharton School - Finance Department ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-746-0499 (Phone)

Liyan Yang (Contact Author)
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada

Feedback to SSRN


Paper statistics
Abstract Views: 1,096
Downloads: 210
Download Rank: 84,971
References:  41

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.422 seconds