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Government agencies routinely allow pre-release access to information to accredited news agencies under embargo … subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated …
Persistent link: https://www.econbiz.de/10013033606
This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …
Persistent link: https://www.econbiz.de/10011344170
private information. This suggests that economists' inability to explain asset price movements is the result of either noise …
Persistent link: https://www.econbiz.de/10011566279
a dynamic heterogeneous agents model featuring overconfidence and slow information diffusion which is able to both …
Persistent link: https://www.econbiz.de/10012850746
local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher …-adjustment models. And double-sorted analysis suggests that ARA imposes a much stronger influence on firms with worse information …
Persistent link: https://www.econbiz.de/10013005876
Persistent link: https://www.econbiz.de/10010506499
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …
Persistent link: https://www.econbiz.de/10013119323
information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors …
Persistent link: https://www.econbiz.de/10012846330
Persistent link: https://www.econbiz.de/10015062245
Yes. By observing return reversals following unexpected responses to noisy public signals about market-wide common factors, we show that investors in the US equity market tend to over-respond to public signals for mature firms that are relatively easy to price—old, large, and dividend-paying...
Persistent link: https://www.econbiz.de/10012855495