Hautsch, Nikolaus; Hess, Dieter; Müller, Christoph - In: Journal of International Money and Finance 31 (2012) 2, pp. 337-355
We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy estimates of news’ precision. It is shown that the...