False News, Informational Efficiency, and Price Reversals - HEC Paris - École des hautes études commerciales de Paris Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2014

False News, Informational Efficiency, and Price Reversals

Jjrrme Dugast
  • Fonction : Auteur

Résumé

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff of an asset. As the cost of low precision signals declines, prices are more likely to reflect these signals before more precise signals become available. This effect can ultimately reduce price informativeness because it reduces the demand for more precise signals (e.g., fundamental analysis). We make additional predictions for trade and price patterns.

Dates et versions

hal-02058260 , version 1 (05-03-2019)

Licence

Copyright (Tous droits réservés)

Identifiants

Citer

Jjrrme Dugast, Thierry Foucault. False News, Informational Efficiency, and Price Reversals. 2014. ⟨hal-02058260⟩

Collections

HEC CNRS
22 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More