Speed acquisition

• Main Authors: HUANG, Shiyang, YUESHEN, Bart Zhou
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: speed; information; technology; price discovery; price informativeness; Corporate Finance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7286; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8285/viewcontent/SpeedAcq_av.pdf
• Institution: Singapore Management University

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. Var...