We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas...We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas non-fundamental information is related to the noise caused by traders'sentiment.Opening access to non-fundamental information increases the coordination possibilities among sentiment-informed traders and can yield two equilibrium-displaying properties:substitutability and complementarity.We find that the dominated mass of one type of informed trader can attenuate their information advantage,resulting in low ex ante expected utility associated with such traders.We further find that there is a crowding-out effect in information acquisition between the two types of informed traders,which offers some significant insights in explaining why bubbles burst when market sentiment is dominant.展开更多
基金National Natural Science Foundation of China(Grant No.71371023,No.71371024,No.71771008).
文摘We present a parsimonious information acquisition model in which two types of traders can produce either fundamental or non-fundamental information.Fundamental information is related to asset liquidation value,whereas non-fundamental information is related to the noise caused by traders'sentiment.Opening access to non-fundamental information increases the coordination possibilities among sentiment-informed traders and can yield two equilibrium-displaying properties:substitutability and complementarity.We find that the dominated mass of one type of informed trader can attenuate their information advantage,resulting in low ex ante expected utility associated with such traders.We further find that there is a crowding-out effect in information acquisition between the two types of informed traders,which offers some significant insights in explaining why bubbles burst when market sentiment is dominant.
