Earticle

초록

영어

This paper explores the impact of multidimensional uncertainty on people’s incentives to acquire information using the Kyle model of informed trading. In a single period Kyle model, the informed trader is worse off if he acquires information (called non-fundamental information) about the level of noise trading. This is due to the fact that the informed trader, by betting against noise traders, reduces the variance of the total noise related trading; he gains from such a bet, but loses part of profits from fundamental trading. If there is a speculator who trades only on non-fundamental information, the informed trader is better off acquiring information that is dominated by the speculator’s whereas acquiring non-fundamental information that is not dominated could make the informed trader worse off than without such information. Moreover, the informed trader is much better off sharing such dominated information with the speculator after acquiring it. When there are two traders who have fundamental information, the less informed trader has stronger incentives to acquire non-fundamental information. We also show that non-fundamental information provides a better return if the noise trading has a bigger variance than the asset value. The overall picture emerging from this exercise is that traders who focus on fundamentals do not have strong incentives to acquire non-fundamental information.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. One Informed Trader
  1. Uninformed Market Maker
  2. Informed Market Maker
 Ⅲ. One Informed Trader and One Speculator
  1. Conditionally Uncorrelated Non-Fundamental Information
  2. Dominated Non-Fundamental Information
  3. Dominating Non-Fundamental Information
  4. Sharing Non-Fundamental Information with Speculator
 Ⅳ. Two Informed Traders
 Ⅴ. Conclusion
 References
 Appendix

키워드

저자

• Cheol Park [ Professor, College of Business Administration, Seoul National University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330