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Listening to the noise : on price efficiency with dynamic trading

Arnold, Lutz; Russ, David - 2024

This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of...

Persistent link: https://www.econbiz.de/10014559283

Dynamic Trading and Asset Prices : Keynes vs. Hayek

Cespa, Giovanni - 2011

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10013134234

What Moves Stock Prices? The Role of News, Noise, and Information

Brogaard, Jonathan - 2019

We develop a return variance decomposition model to separate the role of different types of information and noise in stock price movements. We disentangle four components: market-wide information, private firm-specific information revealed through trading, firm-specific information revealed...

Persistent link: https://www.econbiz.de/10012900203

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10003897551

Liquidity, market efficiency and the influence of noise traders : quasi-experimental evidence from the betting industry

Flepp, Raphael; Nüesch, Stephan; Franck, Egon - 2013

This paper examines how liquidity affects market efficiency in a market environment where securities' true values are … source of exogenous variation in liquidity. The results show that liquidity significantly decreases market efficiency for … weekends than on weekdays, our results indicate that the type of liquidity matters for market efficiency …

Persistent link: https://www.econbiz.de/10010363066

Pricing Efficiency of Saudi Exchange Traded Funds (ETFs)

Almudhaf, Fahad - 2020

their efficiency improves with increased trading volume (liquidity). Saudi regulators must increase their efforts to educate … investing in ETFs, which will positively affect liquidity and pricing efficiency in the future. This paper is the first to …

Persistent link: https://www.econbiz.de/10012827920

Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic

Fischer, Kai; Haucap, Justus - 2020

Betting markets have been frequently used as a natural laboratory to test the efficient market hypothesis and to obtain insights especially for financial markets. We add to this literature in analyzing the velocity and accuracy in which market expectations adapt to an exogenous shock: the...

Persistent link: https://www.econbiz.de/10012271737

Betting market efficiency in the presence of unfamiliar shocks : the case of ghost games during the COVID-19 pandemic

Fischer, Kai; Haucap, Justus - 2020

Persistent link: https://www.econbiz.de/10012261187

Market Liquidity and Price Efficiency : A Field Experiment

Brown, Alasdair - 2017

We conduct a field experiment to see if market liquidity has a causal effect on price efficiency and, if so, why. We … randomly provide liquidity in certain horse race betting markets, and not in others. We find that prices in treated markets are …

Persistent link: https://www.econbiz.de/10012969323

Liquidity and Market Efficiency in the World’s Largest Carbon Market

Ibikunle, Gbenga - 2016

-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

Persistent link: https://www.econbiz.de/10013008319