Publication Type
Journal Article
Version
acceptedVersion
Publication Date
6-2021
Abstract
Speed is a salient feature of modern financial markets. This paper studies investors' speed acquisition together with their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance.
Keywords
speed, information, technology, price discovery, price informativeness
Discipline
Corporate Finance | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Management Science
Volume
67
Issue
6
First Page
3492
Last Page
3518
ISSN
0025-1909
Identifier
10.1287/mnsc.2020.3669
Publisher
Institute for Operations Research and Management Sciences
Citation
HUANG, Shiyang and YUESHEN, Bart Zhou.
Speed acquisition. (2021). Management Science. 67, (6), 3492-3518.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7286
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1287/mnsc.2020.3669
Included in
Corporate Finance Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons