Общая экономика

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Information Diffusion and the Boundary of Market Efficiency - Theory and Empirical Evidence

Автор: Hai Lu
Год: 2008
Издание: [не указанo]
Страниц: 128
ISBN: 3639044517
The study investigates the boundary of market efficiency and the diffusion mechanism in capital markets. A stylized information diffusion model is presented to describe the process by which investors gradually assimilate the information following an information event. The model suggests that a diffusion process depends on both a drift and a diffusion force. If prices have converged before the drift force disappears, the diffusion phenomenon is difficult to observe. Otherwise, the diffusion force dominates in the longer horizon and imposes a boundary on market efficiency. The model indicates that the speed of information diffusion depends on information content, information conductivity, and information shock absorption capacity. Each signal has a different degree of information content, and each firm has a unique information conductivity. Consequently, the information on different firms diffuses across investors at different rates. Several implications from this diffusion model are...
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