We study how dynamic research affects information acquisition in financial markets. In our strategic trading model, the trader performs costly research to generate private information but does not always succeed. Optimal research activity responds to market conditions and generates novel implications. First, more frequent public disclosures can “crowd in” private information acquisition, increase price informativeness, and harm liquidity, instead of “leveling the playing field.” Second, observed research activity does not necessarily imply that traders are better informed. Finally, improvements in research effectiveness or higher market participation by uninformed investors can simultaneously increase price informativeness and liquidity.

中文翻译：

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研究动态和战略交易

我们研究动态研究如何影响金融市场中的信息获取。在我们的战略交易模型中，交易者进行昂贵的研究以生成私人信息，但并不总是成功。最佳研究活动对市场条件作出反应并产生新的影响。首先，更频繁的公开披露会“挤进”私人信息的获取，增加价格信息量并损害流动性，而不是“公平竞争”。其次，观察到的研究活动并不一定意味着交易者更了解情况。最后，不知情的投资者提高研究效率或提高市场参与度可以同时增加价格信息量和流动性。