haku: @author Vives, X. / yhteensä: 19
viite: 13 / 19
| Tekijä: | Vives, X. |
| Otsikko: | Short-term investment and the information efficiency of the market |
| Lehti: | Review of Financial Studies
1995 : SPRING, VOL. 8:1, p. 125-160 |
| Asiasana: | INVESTMENT MARKET EFFICIENCY INFORMATION |
| Kieli: | eng |
| Tiivistelmä: | A dynamic finite-horizon market for a risky asset with a continuum of risk-averse heterogeneously informed investors and a risk-neutral competitive market-making sector is examined. The article analyzes the effect of investors' horizons and the information content of prices. It is shown that short horizons enhance or reduce accumulated price informativeness depending on the temporal pattern of private information arrival. |
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