G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11190
DP11190 Data Abundance and Asset Price Informativeness
Thierry Foucault; Jérôme Dugast
发表日期2016-03-23
出版年2016
语种英语
摘要Investors can acquire either raw or processed information about the payoff of risky assets. Information processing filters out the noise in raw information but it takes time. Hence, investors buying processed information trade with a lag relative to investors buying raw information. As the cost of raw information declines, more investors trade on it, which reduces the value of processed information, unless raw information is very unreliable. Thus, a decline in the cost of raw information can reduce the demand for processed information and, for this reason, the informativeness of asset prices in the long run.
主题Financial Economics
关键词Price informativeness Information processing Markets for information Contrarian and momentum trading
URLhttps://cepr.org/publications/dp11190
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540007
推荐引用方式
GB/T 7714
Thierry Foucault,Jérôme Dugast. DP11190 Data Abundance and Asset Price Informativeness. 2016.
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