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 his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his 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 light on phenomena such as private communications among investors and public information sharing on social media.

中文翻译：

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金融市场中的信息共享


我们研究了解资产基本面的战略投资者之间的信息共享。我们证明，如果交易对手投资者消息灵通，那么消息灵通的投资者最会选择分享信息。通过这样做，消息粗略的投资者邀请其他投资者根据他的信息进行交易，从而减少他对价格的影响。矛盾的是，消息灵通的投资者从接收信息中损失惨重，因为由此导致市场流动性恶化，以及消息灵通的投资者进行了更激进的交易。我们的分析揭示了投资者之间的私人通信和社交媒体上的公共信息共享等现象。