| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25662 |
| 来源ID | Working Paper 25662 |
| Trading Costs and Informational Efficiency | |
| Eduardo Dávila; Cecilia Parlatore | |
| 发表日期 | 2019-03-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex-ante identical: price informativeness is independent of the level of trading costs. When investors are ex-ante heterogeneous, anything goes, and a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear, and fixed costs. Through a reduction in information acquisition, trading costs reduce price informativeness. We discuss how our results inform the policy debate on financial transaction taxes/Tobin taxes. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w25662 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583336 |
| 推荐引用方式 GB/T 7714 | Eduardo Dávila,Cecilia Parlatore. Trading Costs and Informational Efficiency. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25662.pdf（1079KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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