纽约联储-处理的代价：DeFi中的信息摩擦与市场效率（英）

The Price of Processing: Information Frictions and Market Efficiency in DeFi Pablo D. Azar | Sergio Olivas | Nish D. Sinha NO. 1153 APRIL 2025 The Price of Processing: Information Frictions and Market Efficiency in DeFi Pablo D. Azar, Sergio Olivas, and Nish D. Sinha Federal Reserve Bank of New York Staff Reports, no. 1153 April 2025 https://doi.org/10.59576/sr.1153 Abstract This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise time a hack’s transactions are recorded—becoming public information—while subsequent social media disclosures mark the transition to common knowledge. This empirical design allows us to isolate the price impact occurring during the interval characterized by information asymmetry driven purely by differential processing capabilities. Our central empirical finding is that substantial price discovery precedes common knowledge: approximately 36 percent of the total 24-hour price decline (∼27 percent) materializes before the public announcement. This evidence suggests sophisticated traders rapidly exploit their ability to process complex, publicly available on-chain data, capturing informational rents. We develop a theoretical model of informed trading under processing costs which predicts strategic, slow information revelation, consistent with our empirical findings. Our results quantify the limits imposed by information processing costs on market efficiency, demonstrating that transparency alone does not guarantee immediate information incorporation into prices. JEL classification: G12, G14, G18, G23, L86 Key words: information asymmetry, price discovery, common knowledge, information processing costs, market microstructure, event study, high-frequency data, cryptocurrency, defi, cybersecurity hacks, market efficiency _________________ Azar, Sinha: Federal Reserve Bank of New York (email: pablo.azar@ny.frb.org, nish.sinha@ny.frb.org). Olivas: University of Texas at Austin (email: solivas@utexas.edu). The authors thank Owen Engbretson for helpful comments and discussions. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1153.html. 1IntroductionA central question in financial economics concerns price discovery—the process by which newinformation becomes embedded in asset prices. While canonical models o