haku: @indexterm INFORMATION ECONOMICS / yhteensä: 126
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| Tekijä: | Grundy, B. D. Kim, Y. |
| Otsikko: | Stock Market Volatility in a Heterogeneous Information Economy |
| Lehti: | Journal of Financial and Quantitative Analysis
2002 : MAR, VOL. 37:1, p. 1-28 |
| Asiasana: | STOCKS STOCK MARKETS INFORMATION ECONOMICS ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | The informational role of prices contributes positively to their variability. In a noisy rational expectations equilibrium, traders rationally respond to price changes by revising their estimates of other traders' private signal and hence their own expectations of future dividends. The resultant shifts in traders' demands amplify any supply shock-induced price changes. The authors develop an infinite horizon noisy rational expectations model and calibrate, simulate, and test it using U.S. stock market data. The price variability in a heterogeneous information economy is shown to be 20% to 46% higher than in an otherwise equivalent economy in which all signals are publicly announced. |
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