In dynamic trading models, κ-separable securities characterize information aggregation; decreasing signal costs leads to discontinuous aggregation improvement for almost all securities irrespective of initial information.
Where has all the data gone? The Review of Financial Studies, 35 0 (7): 0 3101--3138
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Information Aggregation with Costly Information Acquisition
In dynamic trading models, κ-separable securities characterize information aggregation; decreasing signal costs leads to discontinuous aggregation improvement for almost all securities irrespective of initial information.