Listening to the noise: On price efficiency with dynamic trading

This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of big data and advances in the way of processing it, exacerbates, rather than ameliorates, the negative impact of noise trading on price efficiency.

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Year of publication:	2024
Authors:	Arnold, Lutz ; Russ, David
Publisher:	Frankfurt a. M. : Deutsche Bundesbank
Subject:	social sentiment investing \| price efficiency \| noise trading \| information aggregation

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Series:	Deutsche Bundesbank Discussion Paper ; 19/2024
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	978-3-95729-994-9
Other identifiers:	1892358735 [GVK] RePEc:zbw:bubdps:299241 [RePEc]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10014561426