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Conference Paper: Speed Acquisition

TitleSpeed Acquisition
Authors
Issue Date2019
PublisherAmerican Finance Association.
Citation
American Finance Association (AFA) 2019 Annual Meeting, Atlanta, Georgia, USA, 4-6 January 2019 How to Cite?
AbstractSpeed has become a salient feature of modern financial markets. This paper studies investors’ endogenous speed acquisition, alongside their information acquisition. In equilibrium, speed heterogeneity endogenously arises across investors, temporally fragmenting the price discovery process. A deterioration in the long-run price informativeness ensues. Intra- and inter-temporal competition among investors drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An advancing information tech- nology might complement speed acquisition, which fragments the price discovery process, thus hurting price informativeness. Novel predictions are discussed regarding investor composition, fund performance, and trading volume.
DescriptionInvited Paper Session: Trading in Modern Markets
Persistent Identifierhttp://hdl.handle.net/10722/260954

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorYueshen, BZ-
dc.date.accessioned2018-09-14T08:50:04Z-
dc.date.available2018-09-14T08:50:04Z-
dc.date.issued2019-
dc.identifier.citationAmerican Finance Association (AFA) 2019 Annual Meeting, Atlanta, Georgia, USA, 4-6 January 2019-
dc.identifier.urihttp://hdl.handle.net/10722/260954-
dc.descriptionInvited Paper Session: Trading in Modern Markets-
dc.description.abstractSpeed has become a salient feature of modern financial markets. This paper studies investors’ endogenous speed acquisition, alongside their information acquisition. In equilibrium, speed heterogeneity endogenously arises across investors, temporally fragmenting the price discovery process. A deterioration in the long-run price informativeness ensues. Intra- and inter-temporal competition among investors drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An advancing information tech- nology might complement speed acquisition, which fragments the price discovery process, thus hurting price informativeness. Novel predictions are discussed regarding investor composition, fund performance, and trading volume.-
dc.languageeng-
dc.publisherAmerican Finance Association.-
dc.relation.ispartofAmerican Finance Association (AFA) 2019 Annual Meeting-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.titleSpeed Acquisition-
dc.typeConference_Paper-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.description.naturepostprint-
dc.identifier.hkuros290082-
dc.publisher.placeUnited States-

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