Whoever Has Will Be Given More: Information Sharing

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Topic: Whoever Has Will Be Given More: Information Sharing in Financial Markets

Speaker: Liyan Yang, University of Toronto

Abstract: This paper studies information sharing between strategic investors with private information of different precision about the asset fundamental. We find that a coarsely informed investor would always share her information "as is'' if her counterparty investor is well informed about the fundamental. In this way, the coarsely informed investor invites the well informed investor to trade against her information, thereby offsetting her informed order flow and reducing the price impact. The coarsely informed investor gains from the information sharing but the well informed investor loses from it. Our model offers an explanation for why the masses of investors express investment opinions on social media and sheds new light on information networks in financial markets and institutional investors' sentiment trading strategy.

View paper

Moderator: Kylie-Anne Richards, University of Technology Sydney

Date: Tuesday, 6th October 2020
Time: 9-10 am (Australian Eastern Standard Time)
Venue: This is on online Zoom webinar.

Seminar protocols:

• The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
• There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
• Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Harry Scheule

Enquiries: Duncan Ford