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Xavier Vives Institut d’Anàlisi EconÒmica (CSIC) Address correspondence to Xavier Vives, Institut d’Anàlisi Econòmica, CSIC, Campus UAB, 08193-Bellaterra, Barcelona, Spain. Search for other works by this author on: Oxford Academic
The Review of Financial Studies, Volume 8, Issue 1, January 1995, Pages 125–160, https://doi.org/10.1093/rfs/8.1.125
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28 May 2015
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Xavier Vives, Short-Term Investment and the Informational Efficiency of the Market, The Review of Financial Studies, Volume 8, Issue 1, January 1995, Pages 125–160, https://doi.org/10.1093/rfs/8.1.125
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Abstract
A dynamic finite-horizon market for a risky asset with a continuum of risk-averse heterogeneously informed investors and a risk-neutral competitive market-making sector is examined. The article analyzes the effect of investors’ horizons on the information content of prices. It is shown that short horizons enhance or reduce accumulated price informativeness depending on the temporal pattern of private information arrival. With concentrated arrival of information, short horizons, reduce final price informativeness; with diffuse arrival of information, short horizons enhance it. In the process a closed-form solution to the dynamic equilibrium with long-term investors is derived.
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I'm an enthusiast and expert in financial studies, particularly in the area of market dynamics and informational efficiency. My expertise extends to the specific concepts discussed in the article titled "Short-Term Investment and the Informational Efficiency of the Market" by Xavier Vives, published in The Review of Financial Studies, Volume 8, Issue 1, January 1995.
In this article, Vives explores a dynamic finite-horizon market for a risky asset, involving a continuum of risk-averse heterogeneously informed investors and a risk-neutral competitive market-making sector. The primary focus is on analyzing the impact of investors' horizons on the information content of prices within the market.
Key concepts discussed in the article include:
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Market Dynamics: The article delves into the dynamics of a market with a finite time horizon, emphasizing the interaction between risk-averse investors and a competitive market-making sector.
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Investor Horizons: Vives examines how the time horizons of investors influence the informational efficiency of prices. Short horizons are shown to either enhance or reduce the accumulated price informativeness based on the temporal pattern of private information arrival.
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Price Informativeness: The study highlights the varying levels of informativeness in prices, depending on factors such as the concentration or diffusion of private information arrival.
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Equilibrium with Long-Term Investors: The article provides a closed-form solution to the dynamic equilibrium in the presence of long-term investors, contributing to the understanding of market equilibrium under different investor profiles.
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Market Efficiency: The broader implication of the research is the assessment of how short-term investment impacts the overall informational efficiency of the market.
The article, published in 1995, remains relevant for understanding the intricacies of financial markets and the role of investor behavior in shaping market dynamics. If you have any specific questions or if there's a particular aspect you'd like me to elaborate on, feel free to ask.
