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Article: Speed Acquisition

TitleSpeed Acquisition
Authors
Huang, SZhou, BY
KeywordsSpeed
Information
Technology
Price discovery
Price informativeness
Issue Date2021
PublisherINFORMS. The Journal's web site is located at http://mansci.pubs.informs.org
Citation
Management Science, 2021, v. 67 n. 6, p. 3492-3518 How to Cite?
DOI: http://dx.doi.org/10.1287/mnsc.2020.3669
AbstractSpeed 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. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance.
Persistent Identifierhttp://hdl.handle.net/10722/284762
ISSN
0025-1909
2021 Impact Factor: 6.172
2020 SCImago Journal Rankings: 4.954
ISI Accession Number ID
WOS:000682806000009

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorZhou, BY-
dc.date.accessioned2020-08-07T09:02:17Z-
dc.date.available2020-08-07T09:02:17Z-
dc.date.issued2021-
dc.identifier.citationManagement Science, 2021, v. 67 n. 6, p. 3492-3518-
dc.identifier.issn0025-1909-
dc.identifier.urihttp://hdl.handle.net/10722/284762-
dc.description.abstractSpeed 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. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness. Novel predictions are discussed regarding investor composition and their investment performance.-
dc.languageeng-
dc.publisherINFORMS. The Journal's web site is located at http://mansci.pubs.informs.org-
dc.relation.ispartofManagement Science-
dc.subjectSpeed-
dc.subjectInformation-
dc.subjectTechnology-
dc.subjectPrice discovery-
dc.subjectPrice informativeness-
dc.titleSpeed Acquisition-
dc.typeArticle-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1287/mnsc.2020.3669-
dc.identifier.scopuseid_2-s2.0-85109481623-
dc.identifier.hkuros312009-
dc.identifier.volume67-
dc.identifier.issue6-
dc.identifier.spage3492-
dc.identifier.epage3518-
dc.identifier.isiWOS:000682806000009-
dc.publisher.placeUnited States-
dc.identifier.issnl0025-1909-

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