| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25210 |
| 来源ID | Working Paper 25210 |
| Identifying Price Informativeness | |
| Eduardo Dávila; Cecilia Parlatore | |
| 发表日期 | 2018-11-05 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow us to recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how to recover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors (regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets, and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, finding stock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of price informativeness, measured in the form of the Kalman gain used by an external observer that conditions its posterior belief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that price informativeness is higher for stocks with higher market capitalization and higher trading volume. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w25210 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582884 |
| 推荐引用方式 GB/T 7714 | Eduardo Dávila,Cecilia Parlatore. Identifying Price Informativeness. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25210.pdf（503KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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