Information Diversity and Market Behavior
作者:
STEPHEN FIGLEWSKI,
期刊:
The Journal of Finance
(WILEY Available online 1982)
卷期:
Volume 37,
issue 1
页码: 87-102
ISSN:0022-1082
年代: 1982
DOI:10.1111/j.1540-6261.1982.tb01097.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThe paper addresses two major issues raised by information diversity in a speculative market. First, we analyze what property of an investor's information leads to an expected speculative profit and show that independence is more important than accuracy. Second, we consider whether the market price must become fully efficient, in the sense that every investor's information is accurately discounted, when traders use it rationally as an information source. We prove that for any information structure there is a unique equilibrium weighting of investor beliefs at which the price is fully efficient and also every trader's expected profit is zero. Except for special structures, however, this equilibrium need not be attained in finite time.
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