The asymmetrical Acquisition of information about the range of asset value in market

The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts of investors' asymmetrical acquisition of range information. Uninformed traders are inherently unable to directly obtain the private signal held by informed traders. This study shows that when range information is released to investors asymmetrically, uninformed traders who can only obtain rougher range information will not trade assets under the max-min ambiguity aversion criterion. Investors' asymmetrical acquisition of range information can cause that market liquidity and the sensitivity of market price to private signal vary continuously with the signal and noise trading volume. We also reveal that investors' asymmetrical acquisition of range information can increase market liquidity and the sensitivity of price under some conditions and decrease them under some other conditions.

Publication Details

Journal
ArXiv.org
Published
2025-08-13
Primary Topic
Financial Markets and Investment Strategies
Type
article
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article

The asymmetrical Acquisition of information about the range of asset value in market

ArXiv.org
Financial Markets and Investment Strategies
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The asymmetrical Acquisition of information about the range of asset value in market

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Abstract

The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts of investors' asymmetrical acquisition of range information. Uninformed traders are inherently unable to directly obtain the private signal held by informed traders. This study shows that when range information is released to investors asymmetrically, uninformed traders who can only obtain rougher range information will not trade assets under the max-min ambiguity aversion criterion. Investors' asymmetrical acquisition of range information can cause that market liquidity and the sensitivity of market price to private signal vary continuously with the signal and noise trading volume. We also reveal that investors' asymmetrical acquisition of range information can increase market liquidity and the sensitivity of price under some conditions and decrease them under some other conditions.

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