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Publications [#318190] of Brian M Weller

Journal Articles

  1. Weller, BM, Does algorithmic trading reduce information acquisition?, Review of Financial Studies, vol. 31 no. 6 (June, 2018), pp. 2184-2226 [doi]
    (last updated on 2019/06/24)

    Abstract:
    © The Author(s) 2018. I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of prices and a comprehensive panel of 54,879 stock-quarters of Securities and Exchange Commission (SEC) market data, I establish instead that the amount of information in prices decreases by 9% to 13% per standard deviation of AT activity and up to a month before scheduled disclosures. AT thus may reduce price informativeness despite its importance for translating available information into prices.


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