Events

Prof Liyan Yang
Professor of Finance
Joseph L. Rotman School of Management
University of Toronto

We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if her counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against her information, thereby reducing her price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds lights on phenomena such as private communications among investors and public information sharing on social media.