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Signal or noise? Uncertainty and learning about whether other traders are informed

Citations

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Cited by:

  1. Chung-Han Hsieh & Rong Gan, 2025. "Is Noisy Data a Blessing in Disguise? A Distributionally Robust Optimization Perspective," Papers 2509.01076, arXiv.org.
  2. Maryam Farboodi & Laura Veldkamp, 2017. "Long Run Growth of Financial Technology," NBER Working Papers 23457, National Bureau of Economic Research, Inc.
  3. Jan Schneemeier, 2019. "Shock Propagation Through Cross-Learning in Opaque Networks," 2019 Meeting Papers 329, Society for Economic Dynamics.
  4. Dániel Léber & Balázs Egyed, 2026. "The Sentiment Augmented GARCH-LSTM Hybrid Model for Value-at-Risk Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 67(1), pages 313-353, January.
  5. Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023. "Whose sentiment explains implied volatility change and smile?," Finance Research Letters, Elsevier, vol. 55(PA).
  6. Yan Han & Xue-Feng Shao & Xin Cui & Xiao-Guang Yue & Kelvin Joseph Bwalya & Otilia Manta, 2019. "Assessing Investor Belief: An Analysis of Trading for Sustainable Growth of Stock Markets," Sustainability, MDPI, vol. 11(20), pages 1-18, October.
  7. Jonathan Libgober & Beatrice Michaeli & Elyashiv Wiedman, 2023. "With a Grain of Salt: Uncertain Veracity of External News and Firm Disclosures," Papers 2304.09262, arXiv.org, revised Aug 2023.
  8. Tamara Teplova & Mariya Gubareva & Nikolai Kudriavtsev, 2023. "Social sentiment and exchange-specific liquidity at a Eurasian stock exchange outside of US market hours," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(3), pages 753-802, December.
  9. Veldkamp, Laura & Farboodi, Maryam, 2018. "Long Run Growth of Financial Data Technology," CEPR Discussion Papers 13278, Centre for Economic Policy Research.
  10. Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
  11. Aliyev, Nihad, 2025. "Ambiguity and information tradeoffs," Journal of Economic Dynamics and Control, Elsevier, vol. 179(C).
  12. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  13. Fardeau, Vincent, 2024. "Arbitrage with financial constraints and market power," Journal of Economic Theory, Elsevier, vol. 217(C).
  14. Libgober, Jonathan & Michaeli, Beatrice & Wiedman, Elyashiv, 2026. "With a Grain of Salt: Investor Reactions to Uncertain News and (Non)disclosure," Journal of Accounting and Economics, Elsevier, vol. 81(1).
  15. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness, and welfare," Journal of Economic Theory, Elsevier, vol. 177(C), pages 558-593.
  16. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.
  17. Maryam Farboodi & Laura Veldkamp, 2018. "Long Run Growth of Financial Data Technology," Working Papers 18-09, New York University, Leonard N. Stern School of Business, Department of Economics.
  18. Snehal Banerjee & Iván Marinovic & Kevin Smith, 2024. "Disclosing to Informed Traders," Journal of Finance, American Finance Association, vol. 79(2), pages 1513-1578, April.
  19. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
  20. Han, Leyla Jianyu, 2025. "Announcements, expectations, and stock returns with asymmetric information," Journal of Monetary Economics, Elsevier, vol. 151(C).
  21. Buss, Adrian & Breugem, Matthijs & Peress, Joël, 2021. "What do Interest Rates Reveal about the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets," CEPR Discussion Papers 15766, Centre for Economic Policy Research.
  22. Chen, Keqi & Wang, Yuehan & Zhu, Xiaoquan, 2024. "The value of information in China’s connected market," Journal of Empirical Finance, Elsevier, vol. 78(C).
  23. Junyong He & Helen Hui Huang & Shunming Zhang, 2020. "Ambiguity Aversion, Information Acquisition, and Market Opacity," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 263-329, November.
  24. Mudalige, Priyantha & Kalev, Petko S., 2024. "Under the microscope: Trade initiation activities around earnings and takeover announcements in a market with continuous disclosure," Global Finance Journal, Elsevier, vol. 63(C).
  25. Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
  26. Huang, Shiyang & Qiu, Zhigang & Yang, Liyan, 2020. "Institutionalization, delegation, and asset prices," Journal of Economic Theory, Elsevier, vol. 186(C).
  27. Nobuyuki Hanaki & Giulia Iori & Pietro Vassallo, 2025. "Learning and information diffusion in OTC markets: experiments and a computational model," Working Papers 2025: 12, Department of Economics, University of Venice "Ca' Foscari".
  28. Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
  29. Doojin Ryu & Doowon Ryu & Heejin Yang, 2025. "Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 879-895, August.
  30. Banerjee, Snehal & Breon-Drish, Bradyn, 2020. "Strategic trading and unobservable information acquisition," Journal of Financial Economics, Elsevier, vol. 138(2), pages 458-482.
  31. Sadzik, Tomasz & Woolnough, Chris, 2021. "Snowballing private information," Journal of Economic Theory, Elsevier, vol. 198(C).
  32. Rahi, Rohit & Zigrand, Jean-Pierre, 2018. "Information acquisition, price informativeness and welfare," LSE Research Online Documents on Economics 118935, London School of Economics and Political Science, LSE Library.
  33. Liu, Jie & Wu, Chonglin & Yuan, Lin & Liu, Jia, 2022. "Opening price manipulation and its value influences," International Review of Financial Analysis, Elsevier, vol. 83(C).
  34. Nguyen, Thang & Cox, Joe & Rich, Judy, 2019. "Invest or regret? An empirical investigation into funding dynamics during the final days of equity crowdfunding campaigns," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 784-803.
  35. Douglas de Medeiros Franco, 2022. "Expectations, Economic Uncertainty, and Sentiment," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(5), pages 210029-2100.
  36. Ping-Chen Tsai & Chi-Ming Tsai, 2021. "Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(3), pages 443-470, July.
  37. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019, January-A.
  38. Hu, Zhijun & Sun, Ping-Wen, 2024. "Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
  39. Peress, Joël & Schmidt, Daniel, 2024. "Uncertainty about what is in the price," Journal of Financial Economics, Elsevier, vol. 161(C).
  40. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
  41. Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
  42. Chuang, Wen-I & Lee, Yun-Huan & Lee, Hsiu-Chuan & Susmel, Rauli, 2025. "Why do investors trade more following high returns?," International Review of Economics & Finance, Elsevier, vol. 103(C).
  43. Marmora, Paul & Rytchkov, Oleg, 2018. "Learning about noise," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 209-224.
  44. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
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