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| Author: | Cho, J. Krishnan, M. |
| Title: | Prices as aggregators of private information: evidence from S&P 500 futures data |
| Journal: | Journal of Financial and Quantitative Analysis
2000 : MAR, VOL. 35:1, p. 111-126 |
| Index terms: | FINANCIAL ANALYSIS QUANTITY PRICES |
| Language: | eng |
| Abstract: | This paper assesses the importance of the role of prices as aggregators of private information in the S&P 500 futures market. The authors estimate primitive parameters of the Hellwig (1980) noisy rational expectations model, when both prices and terminal values are observable. The variance- covariance parameters governing futures prices and terminal values can be inverted to obtain estimates of the primitive parameters, including the precision of private information and the variance of liquidity-motivated trades. |
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