Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This paper introduces markets for information that generate high price covariance within a rational expectations framework. When information is costly, rational investors only buy information about a subset of the assets. Because information production has high fixed costs, competitive producers charge more for low-demand information than for high-demand information. The low price of high-demand information makes investors want to purchase the same information that others are purchasing. When investors price assets using a common subset of information, news about one asset affects the other assets' prices; asset prices comove. The cross-sectional and time-series properties of comovement are consistent with this explanation. Copyright 2006 The Review of Economic Studies Limited.
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机译:传统资产定价模型预测,不同资产价格之间的协方差应低于我们在数据中观察到的协方差。本文介绍了在合理的期望框架内产生高价格协方差的信息市场。当信息成本高昂时,理性投资者只会购买有关资产子集的信息。由于信息生产的固定成本较高,因此竞争性生产者对低需求信息的收费要高于对高需求信息的收费。高需求信息的低价格使得投资者希望购买与他人正在购买的相同的信息。当投资者使用共同的信息子集为资产定价时,有关一项资产的新闻会影响另一资产的价格;资产价格下跌。共同运动的横截面和时间序列特性与该解释一致。版权所有2006 The Review of Economic Studies Limited。
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