Short-Term Investment and The Informational Eficiency on the Market

摘要: A dynamic finite horizon market for a risky asset with continuum of risk averse heterogenously informed investors and neutral competitive making sector is examined. The paper analyzes the effect investor's horizons on information content prices. It shown that short enhance or reduce accumulated price informativeness depending temporal pattern private arrival. With concentrated arrival information, final informativeness; diffuse it. In process closed-form solution to equilibrium long-term derived.