The Review of Financial Studies, Volume 31, Issue6, 1 june 2018

当透明度提高时，价格必须更好地反映基本面吗？

作者：Snehal Banerjee (University of California)

Jesse Davis (University of North Carolina)

Naveen Gondhi (INSEAD)

摘要：在存在投机机会的情况下，投资者可以了解资产基本面和其他交易者的信念。我们表明，这种学习表现出互补性：在一个维度上更多地学习会增加学习另一个维度的价值。因此，监管方面的变化可能会适得其反。首先，增加透明度（即：使获取基本信息的成本降低）会使投资者通过了解其他信息来做出反应，从而降低价格的信息含量。其次，公开披露妨碍了私人对基本面的学习，同时也鼓励了对他人的信息获取。相应地，披露更多的基本信息可以通过降低价格信息量来降低总体信息效率。

When Transparency Improves, Must Prices Reflect Fundamentals Better?

Snehal Banerjee (University of California)；Jesse Davis (University of North Carolina)；Naveen Gondhi (INSEAD)

ABSTRACT

In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively more about others. Second, public disclosures discourage private learning about fundamentals, while encouraging information acquisition about others. Accordingly, disclosing more fundamental information can decrease overall informational efficiency by decreasing price informativeness.

原文链接：https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2413249

翻译：黄涛