Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage

被引：92
|
作者：
Edmans, Alex [1 ,2 ,3 ,4 ]
Goldstein, Itay [5 ]
Jiang, Wei [6 ]
机构：
[1] London Business Sch, Regents Pk,P-225, London NW1 4SA, England
[2] NBER, Cambridge, MA 02138 USA
[3] CEPR, Hanover, NH USA
[4] ECGI, London, England
[5] Univ Penn Wharton Sch, Philadelphia, PA 19104 USA
[6] Columbia Business Sch, New York, NY 10027 USA
来源：
AMERICAN ECONOMIC REVIEW | 2015年 / 105卷 / 12期
关键词：
MARKET; RISK; MANIPULATION; PRICES; IMPACT;
D O I：
10.1257/aer.20141271
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze strategic speculators' incentives to trade on information in a model where firm value is endogenous to trading, due to feedback from the financial market to corporate decisions. Trading reveals private information to managers and improves their real decisions, enhancing fundamental value. This feedback effect has an asymmetric effect on trading behavior: it increases (reduces) the profitability of buying (selling) on good (bad) news. This gives rise to an endogenous limit to arbitrage, whereby investors may refrain from trading on negative information. Thus, bad news is incorporated more slowly into prices than good news, potentially leading to overinvestment.
引用
收藏
页码：3766 / 3797
页数：32
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