| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25433 |
| 来源ID | Working Paper 25433 |
| Volatility and Informativeness | |
| Eduardo Dávila; Cecilia Parlatore | |
| 发表日期 | 2019-01-14 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the ultimate goal of characterizing the type of inferences that can be drawn about price informativeness by observing price volatility. We identify two different channels (noise reduction and equilibrium learning) through which changes in price informativeness are associated with changes in price volatility. We show that when informativeness is sufficiently high (low) volatility and informativeness positively (negatively) comove in equilibrium for any change in primitives. In the context of our leading application, we provide conditions on primitives that guarantee that volatility and informativeness always comove positively or negatively. We use data on U.S. stocks between 1963 and 2017 to recover stock-specific primitives and find that most stocks lie in the region of the parameter space in which informativeness and volatility comove negatively. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w25433 |
| 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/583107 |
| 推荐引用方式 GB/T 7714 | Eduardo Dávila,Cecilia Parlatore. Volatility and Informativeness. 2019. |
| 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 | ||
| w25433.pdf（800KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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