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| Author: | Fischer, P. E. Verrecchia, R. E. |
| Title: | Public information and heuristic trade |
| Journal: | Journal of Accounting & Economics
1999 : FEB, VOL. 27:1, p. 89-124 |
| Index terms: | Capital markets Disclosure Securities Economic theory Models USA |
| Freeterms: | Bayesian analysis |
| Language: | eng |
| Abstract: | In this paper, the steady-state equilibrium is characterized in which informed traders exhibiting heuristic and Bayesian behaviours achieve the same expected utility. Then, it is shown how the endogenous, steady-state proportion of heuristic traders is affected by the quality of public information and other exogenous features of the model. There follows a discussion of how the presence of heuristic traders potentially alters the link btw. improved public disclosure and market liquidity, the variance in the change in price, and market efficiency. |
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