文档介绍：Risk Aversion, Liquidity, and
Endogenous Short Horizons
Craig W. Holden
Indiana University
Avanidhar Subrahmanyam
University of California, Los Angeles
We analyze petitive model in which differ-
ent information signals get reflected in
value at different points in time. If investors are
sufficiently risk averse, we obtain an equilibrium
in which all investors focus exclusively on the
short term. In addition, we show that increas-
ing the variance of informationless trading in-
creases market depth but causes a greater
proportion of investors to focus on the short-
term signal, which decreases the informative-
ness of prices about the long run. Finally, we also
explore parameter spaces under which long-
term informed agents wish to voluntarily dis-
close their information.
We contribute to the literature on information aggre-
gation in financial markets by analyzing trading
behavior and information acquisition in peti-
tive model in which different signals get reflected in
value at different points in time (in the short-term
and in the long-term). In our framework, a continuum
of risk averse agents can choose to specialize either
in collecting short-term information or in collecting
We are grateful to an anonymous referee and Franklin Allen (the editor) for
insightful and constructive feedback. We also thank Hank Bessembinder,
David P. Brown, Jeff Coles, Nick Crew, Francis Longstaff, Steve Manaster,
John McConnell, e hi, Marie Sushka, Sheridan Titman, Joe
Williams, and participants at the Arizona State University and the University
of Utah seminar series, the Illinois-Indiana-Purdue Finance Symposium, and
the 1995 Winter Meetings of the Econometric Society for ments
and/or discussions. Address correspondence and requests for reprints to
Craig W. Holden, School of Business, Indiana University, Bloomington, IN
47405.
The Review of Financial Studies Summer 1996 Vol. 9, No. 2, pp. 691–722
c 1996 The Review of Financial Studies 0893-945