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How much information is incorporated in financial asset prices? Experimental Evidence

Page, Lionel and Siemroth, Christoph (2021) 'How much information is incorporated in financial asset prices? Experimental Evidence.' The Review of Financial Studies, 34 (9). pp. 4412-4449. ISSN 0893-9454

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Abstract

We investigate the informational content of prices in financial asset markets. To do so we use a large number of market experiments where the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated in market prices. We find that public information is almost completely reflected in prices, but that surprisingly little private information---less than 50\%---is incorporated in prices. Our estimates therefore suggest that while semi-strong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

Item Type: Article
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Economics, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 01 Oct 2020 13:58
Last Modified: 06 Jan 2022 14:18
URI: http://repository.essex.ac.uk/id/eprint/28699

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