In:
Review of Economic Studies, Oxford University Press (OUP), ( 2024-07-22)
Kurzfassung:
We study the distributional effects of asset ownership on price informativeness in a general equilibrium model. The model features investors (oligopolists) with different degrees of price impact and abilities to learn about individual asset payoffs from private and price signals, and a competitive fringe that only learns from asset prices. We show that price informativeness is non-monotonic in the oligopolists’ aggregate size, decreasing in the sector’s concentration and in the size of the passive sector. We further show that the size effect can be decomposed into a learning channel capturing investors’ quality of private signals and an information pass-through channel measuring the sensitivity of investors’ trades to private signals, with the latter one being the primary source of variation in price informativeness relative to the size distribution.
Materialart:
Online-Ressource
ISSN:
0034-6527
,
1467-937X
DOI:
10.1093/restud/rdae077
Sprache:
Englisch
Verlag:
Oxford University Press (OUP)
Publikationsdatum:
2024
ZDB Id:
2009656-2
ZDB Id:
209928-7
