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. DOI https://doi.org/10.1093/rfs/hhaa143
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. DOI https://doi.org/10.1093/rfs/hhaa143
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. DOI https://doi.org/10.1093/rfs/hhaa143
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 |
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Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 01 Oct 2020 13:58 |
Last Modified: | 18 May 2024 17:54 |
URI: | http://repository.essex.ac.uk/id/eprint/28699 |
Available files
Filename: hhaa143.pdf