Social networks, information acquisition, and asset prices

Management Science

Volumn 59, Issue 6, 2013, Pages 1444-1457

  Han, Bing ^a,b,c   Yang, Liyan ^d  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b Shanghai Jiao Tong University 211 West Huaihai Road   (China)

^c Peking University   (China)

^d UNIVERSITY OF TORONTO   (Canada)

Author keywords

Asset prices; Information acquisition; Liquidity; Price informativeness; Social communication; Volume; Welfare

Indexed keywords

ASSET PRICES; INFORMATION ACQUISITIONS; INFORMATIVE NESS; LIQUIDITY; SOCIAL COMMUNICATIONS; VOLUME; WELFARE;

COMMUNICATION; FINANCE; FINANCIAL DATA PROCESSING; INFORMATION SERVICES; MERGERS AND ACQUISITIONS;

COMMERCE;

EID: 84878988829     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1120.1678     Document Type: Article

References (55)

1. Admati A, Pfleiderer P (1986) A monopolistic market for information. J. Econom. Theory 39(2):400-438.
2. Admati A, Pfleiderer P (1988) Selling and trading on information in financial markets. Amer. Econom. Rev. 78(2):96-103.
3. Allen F, Babus A (2009) Networks in finance. Kleindorfer P, Wind J, eds. Network-Based Strategies and Competencies (Wharton School Publishing, Upper Saddle River, NJ), 367-382.
4. Andrei D (2011) Information percolation driving volatility. Working paper, University of California, Los Angeles, Los Angeles.
5. Banerjee A, Fudenberg D (2004) Word-of-mouth learning. Games Econom. Behav. 46(1):1-22.
6. Barlevy G, Veronesi P (2000) Information acquisition in financial markets. Rev. Econom. Stud. 67(1):79-90.
7. Brown JR, Ivkovich Z, Smith PA, Weisbenner S (2008) Neighbors matter: Causal community effects and stock market participation. J. Finance 63(3):1509-1531.
8. Brunnermeier M (2005) Information leakage and market efficiency. Rev. Financial Stud. 18(2):417-457.
9. Carlin BI, Manso G (2011) Obfuscation, learning, and the evolution of investor sophistication. Rev. Financial Stud. 24(3):754-785.
10. Carlin BI, Gervais S, Manso G (2011) Libertarian paternalism and the production of knowledge. Working paper, University of California, Los Angeles, Los Angeles.
11. Chowdhry B, Nanda V (1991) Multimarket trading and market liquidity. Rev. Financial Stud. 4(3):483-511.
12. Christophe S, Ferri M, Hsieh J (2010) Informed trading before analyst downgrades: Evidence from short sellers. J. Financial Econom. 95(1):85-106.
13. Cohen L, Frazzini A, Malloy C (2008) The small world of investing: Board connections and mutual fund returns. J. Political Econom. 116(5):951-979.
14. Cohen L, Frazzini A, Malloy C (2010) Sell side school ties. J. Finance 65(4):1409-1438.
15. Colla P, Mele A (2010) Information linkages and correlated trading. Rev. Financial Stud. 23(1):203-246.
16. Dow J, Goldstein I, Guembel A (2010) Incentives for information production in markets where prices affect real investment. Working paper, The Wharton School, University of Pennsylvania, Philadelphia.
17. Duffie D, Manso G (2007) Information percolation in large markets. Amer. Econom. Rev. 97(2):203-209.
18. Duffie D, Malamud S, Manso G (2009) Information percolation with equilibrium search dynamics. Econometrica 77(5):1513-1574.
19. Duflo E, Saez E (2002) Participation and investment decisions in a retirement plan: The influence of colleagues' choices. J. Public Econom. 85(1):121-148.
20. Duflo E, Saez E (2003) The role of information and social interactions in retirement plan decisions: Evidence from a randomized experiment. Quart. J. Econom. 118(3):815-842.
21. Easley D, Kleinberg J (2010) Networks, Crowds, and Markets: Reasoning About a Highly Connected World (Cambridge University Press, Cambridge, UK).
22. Easley D, O'Hara M (2004) Information and the cost of capital. J. Finance 59(4):1553-1583.
23. Easley D, O'Hara M, Yang L (2011) Differential access to price information in financial markets. Working paper, Cornell University, Washington, DC.
24. Fishman MJ, Hagerty KM (1995) The incentive to sell financial market information. J. Financial Intermediation 4(2):95-115.
25. Garcia D, Sangiorgi F (2011) Information sales and strategic trading. Rev. Financial Stud. 24(9):3069-3104.
26. Garcia D, Strobl G (2011) Relative wealth concerns and complementarities in information acquisition. Rev. Financial Stud. 24(1):169-207.
27. Garcia D, Vanden JM (2009) Information acquisition and mutual funds. J. Econom. Theory 144(5):1965-1995.
28. Gennotte G, Leland H (1990) Market liquidity, hedging, and crashes. Amer. Econom. Rev. 80(5):999-1021.
29. Gray WR, Kern AE (2011) Talking your book: Social networks and price discovery. Working paper, Drexel University, Philadelphia.
30. Grossman S, Stiglitz J (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393-408.
31. Hellwig M (1980) On the aggregation of information in competitive markets. J. Econom. Theory 22(3):477-498.
32. Hong D, Hong H, Ungureanu A (2011) An epidemiological approach to opinion and price-volume dynamics. Working paper, Princeton University, Princeton, NJ.
33. Hong H, Kubik JD, Stein JC (2004) Social interaction and stockmarket participation. J. Finance 49(1):137-163.
34. Hong H, Kubik JD, Stein JC (2005) Thy neighbor's portfolio: Word of-mouth effects in the holdings and trades of money managers. J. Finance 60(6):2801-2824.
35. Irvine P, Lipson M, Puckett A (2007) Tipping. Rev. Financial Stud. 20(3):741-768.
36. Ivkovi'c Z, Weisbenner S (2007) Information diffusion effects in individual investors' common stock purchases: Covet thy neighbors' investment choices. Rev. Financial Stud. 20(4):1327-1357.
37. Jackson MO (2008) Social and Economics Networks (Princeton University Press, Princeton, NJ).
38. Jackson MO (2010) An overview of social networks and economic applications. Benhabib J, Bisin A, Jackson MO, eds. The Handbook of Social Economics (North Holland Press, Amsterdam), 511-585.
39. Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2011) Rational attention allocation over the business cycle. Working paper, New York University, New York.
40. Kelly M, O'Grada C (2000) Market contagion: Evidence from the panics of 1854 and 1857. Amer. Econom. Rev. 90(5):1110-1124.
41. Leland H (1992) Insider trading: Should it be prohibited? J. Political Econom. 100(4):859-887.
42. Malinova K, Smith L (2006) Informational diversity and proximity in rational expectations equilibrium. Working paper, University of Toronto, Toronto, ON.
43. Mele A, Sangiorgi F (2010) Uncertainty, information acquisition and price swings in asset markets. Working paper, Stockholm School of Economics, Stockholm.
44. Ozsoylev H, Walden J (2011) Asset pricing in large information networks. J. Econom. Theory 146(6):2252-2280.
45. Peress J (2004) Wealth, information acquisition and portfolio choice. Rev. Financial Stud. 17(3):879-914.
46. Peress J (2010) The tradeoff between risk sharing and information production in financial markets. J. Econom. Theory 145(1):124-155.
47. Schneider J (2009) A rational expectations equilibrium with informative trading volume. J. Finance 64(6):2783-2805.
48. Shiller RJ (1989) Market Volatility (MIT Press, Cambridge, MA).
49. Shiller RJ, Pound J (1989) Survey evidence on the diffusion of interest and information among investors. J. Econom. Behav. Organ. 12(1):46-66.
50. Shive S (2010) An epidemic model of investor behavior. J. Financial Quant. Anal. 45(1):169-198.
51. Van Bommel J (2003) Rumors. J. Finance 58(4):1499-1599.
52. Van Nieuwerburgh S, Veldkamp L (2009) Information immobility and the home bias puzzle. J. Finances 64(3):1187-1215.
53. Van Nieuwerburgh S, Veldkamp L (2010) Information acquisition and under-diversification. Rev. Econom. Stud. 77(2):779-805.
54. Verrecchia RE (1982) Information acquisition in a noisy rational expectations economy. Econometrica 50(6):1415-1430.
55. Vives X (2008) Information and Learning in Markets: The Impact of Market Microstructure (Princeton University Press, Princeton, NJ).