The More We Know about the Fundamental, the Less We Agree on the Price
AbstractI allow trading horizon heterogeneity across groups in a standard differential information model of a financial market. This approach can explain the well-established phenomenon that, after a public announcement, trading volume increases, more private information is incorporated into prices and volatility increases. In such environments, public information has the important secondary role of helping agents learn about the information of other agents. Therefore, whenever the correlation between the private information of different groups is sufficiently low, a public announcement increases disagreement among short-horizon traders regarding the expected selling price even as it decreases disagreement about the fundamental value of the asset. Additional testable implications are also suggested. Copyright , Oxford University Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Oxford University Press in its journal The Review of Economic Studies.
Volume (Year): 79 (2012)
Issue (Month): 3 ()
Contact details of provider:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kristoffer Nimark, 2013.
"Man-Bites-Dog Business Cycle,"
Working Papers, Barcelona Graduate School of Economics
700, Barcelona Graduate School of Economics.
- Kristoffer P. Nimark, 2014. "Man-Bites-Dog Business Cycles," American Economic Review, American Economic Association, American Economic Association, vol. 104(8), pages 2320-67, August.
- Kristoffer Nimark, 2012. "Man-bites-dog business cycles," 2012 Meeting Papers, Society for Economic Dynamics 127, Society for Economic Dynamics.
- Kristoffer Nimark, 2011. "Man-bites-dog business cycles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1341, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2013.
- Nimark, Kristoffer P, 2013. "Man-bites-dog Business Cycles," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9517, C.E.P.R. Discussion Papers.
- Liyan Yang & Itay Goldstein, 2014. "Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects," 2014 Meeting Papers, Society for Economic Dynamics 154, Society for Economic Dynamics.
- Liyan Yang & Itay Goldstein, 2012. "Information Diversity and Market Efficiency Spirals," 2012 Meeting Papers, Society for Economic Dynamics 349, Society for Economic Dynamics.
- Csóka, Péter & Havran, Dániel & Váradi, Kata, 2014.
"Konferencia a pénzügyi piacok likviditásáról. BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK Játékelméleti Kutatócsoport, Budapest, 2013. október 3-4
[Fourth Annual Financia," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 324-334.
- Liyan Yang & Itay Goldstein, 2014. "Good Disclosure, Bad Disclosure," 2014 Meeting Papers, Society for Economic Dynamics 42, Society for Economic Dynamics.
- Elías Albagli, 2013. "Investment Horizons and Asset Prices under Asymmetric Information," Working Papers Central Bank of Chile, Central Bank of Chile 709, Central Bank of Chile.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.