据JFE官网显示，来自宾夕法尼亚大学的Itay Goldstein、香港大学的熊琰、多伦多大学的杨立岩，合作的论文“Information sharing in financial markets”在国际金融学顶刊《Journal of Financial Economics》正式线上发表。
Title: Information sharing in financial markets
金融市场中的信息共享
Itay Goldstein
宾夕法尼亚大学
熊琰
香港大学
杨立岩
多伦多大学
We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.
我们研究战略投资者之间的信息共享，这些投资者掌握了关于资产基本面的信息。我们证明，一个粗略了解信息的投资者如果他的交易对手投资者信息充分，那么他最优地选择分享信息。通过这样做，粗略了解信息的投资者邀请其他投资者根据他的信息进行交易，从而减少了他的价格影响。悖论的是，信息充分的投资者因为市场流动性的恶化以及粗略了解信息的投资者更加激进的交易而因接收信息而受损。我们的分析揭示了投资者之间的私人沟通现象以及社交媒体上公开信息共享等现象。
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