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Tekijä: | Ho, T. S. Y. Michaely, R. |
Otsikko: | Information quality and market efficiency. |
Lehti: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 53-70 |
Asiasana: | STOCK MARKETS INFORMATION ECONOMICS |
Kieli: | eng |
Tiivistelmä: | An analysis of the optimal individual behaviour in acquiring information and determining the amount of information incorporated in a stock at equilibrium, using a "noisy rational" expectation model, where investors have information, but not the optimal amount of information concerning risk preferences. Model assumptions. A normative analysis. A firm's information cost function and the ex post equilibrium condition. Short selling strategy and the equilibrium market efficiency of small firms. A small firm versus large firm. Empirical evidence. Five Tables illustrate the study. |
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