Matthijs Breugem (Collegio Carlo Alberto) (webinar)
29 June 2021 @ 12:00 - 13:00
- Past event
“On The Impact of Long Term Investors on Information Choice and Market Efficiency”
Abstract: We analyze the impact of investor investment horizon on information acquisition and market efficiency in an REE economy with short-term and long-term investors. We find that the presence of long-term investors increases the willingness of short-term investors to acquire long-term information. Specifically, short-term investors care about long-term information to the extent that future prices—at which they liquidate their investments—reflect long-term payoffs. Long-term investors acquire long-term information and therefore increase the price-informativeness of future prices. Therefore, the larger the fraction of long-term investors, the more long-term payoffs are reflected into future prices, and the more long-term information is acquired by short-term investors.
Joint with Adrian Buss and Roberto Marfe’.
Meeting ID: 832 9075 4621 Passcode: 359187