We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and o ffers. Investors diff er with respect to information quality,...
mehr
ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
Signatur:
Keine Speicherung
Fernleihe:
keine Fernleihe
We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and o ffers. Investors diff er with respect to information quality, including initial information precision, and also in terms of market\connectivity," the expected frequency of their bilateral trading opportunities. We characterize endogenous information acquisition and show how learning externalities aff ect information gathering incentives. More liquid" markets lead to higher equilibrium information acquisition when the gains from trade and market duration are su fficiently large. On the other hand, for a small market duration, the opposite may occur if agents vary suffi ciently in terms of their market connectivity