29 septembre 2023, 14h00–15h15
Toulouse
Salle Auditorium 4
Finance Seminar
Résumé
We study ineciency in the acquisition of private information before trading in financial markets. As the cost of information declines, traders over-invest in information acquisition and trade too much on their private information. Generically, no policy exists based on the price of the financial asset and the individual trade volume inducing effciency in both information acquisition and trading. Such an impossibility result turns into a possibility one when information acquisition is verifiable or when taxes can be made contingent on the aggregate volume of trade. When only ad-valorem taxes are available, they should not be used.
Mots-clés
information acquisition, aggregation through prices, information externalities, team efficiency;
Codes JEL
- D84: Expectations • Speculations
- G14: Information and Market Efficiency • Event Studies • Insider Trading