Bart Zhou Yueshen
Assistant Professor of Finance
Speed; Information; Technology; Price Discovery; Price Informativeness;
Speed is a salient feature of modern financial markets. This paper studies investors’ speed acquisition together with their information acquisition.Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements.The model cautions the possible dysfunction of price discovery: An improving information technology might complement speed acquisition, which shifts the concentration of price discovery over time, possibly hurting price informativeness.Novel predictions are discussed regarding investor composition and their investment performance.