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| Tekijä: | Stein, J. |
| Otsikko: | Price discovery in asset markets |
| Lehti: | Managerial Finance
1994 : VOL.2:2/3, p.90-101 |
| Asiasana: | PRICES FUTURES MARKETS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | In this article, the author does several things in a relatively non-technical way. He explains what is the major function of asset markets in terms of economic welfare. This leads to the process of price discovery. Then he relates the price discovery process to the Muth Rational Expectations Hypothesis (MRE). Then the author discusses two optimal price discovery processes: OLS learning from publicly available information and Bayesian learning. It is shown that both econometric evidence, and recent work on experimental markets are consistent with the process of Bayesian learning and not with the statistical implications of the EMH and MRE hypotheses. |
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