作者：Peter O. Christensen (Copenhagen Business School - Department of Finance), 秦振江（原西南财经大学金融研究院教师）
摘要：
In an incomplete market with heterogeneous prior beliefs, we show public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. The Pareto efficient public information system is the system enjoying the maximum ex ante cost of capital and the maximum expected abnormal trading volume. Imperfect public information increases the gains-to-trade based on heterogeneously updated posterior beliefs. In an exchange economy, this leads to higher growth in the investors' certainty equivalents and, thus, a higher equilibrium interest rate, whereas the ex ante risk premium is unaffected by the informativeness of the public information system. Similar results are obtained in a production economy, but the impact on the ex ante cost of capital is dampened compared to the exchange economy due to welfare improving reductions in real investments to smooth the investors' certainty equivalents over time.
