We study the effect of trading costs on information aggregation and acquisition in financial markets. For a given precision of investors' private information, an irrelevance result emerges when investors are ex ante identical: price informativeness is independent of the level of trading costs. When investors are ex ante heterogeneous, a change in trading costs can increase or decrease price informativeness, depending on the source of heterogeneity. Our results are valid under quadratic, linear, and fixed costs. Through a reduction in information acquisition, trading costs reduce price informativeness. We discuss how our results inform the policy debate on financial transaction taxes/Tobin taxes.

中文翻译：

---

交易成本和信息效率

我们研究了交易成本对金融市场信息汇总和获取的影响。对于给定的投资者私人信息精确度，当投资者事前相同时，就会出现不相关的结果：价格信息量与交易成本水平无关。当投资者事前有异质性时，交易成本的变化可能会增加或减少价格信息，这取决于异质性的来源。我们的结果在二次，线性和固定成本下均有效。通过减少信息获取，交易成本降低了价格信息。我们讨论了我们的结果如何为有关金融交易税/托宾税的政策辩论提供信息。