Conformism, Public News and Market Effciency.
We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's in- formation is a message sent by an analyst. Conformism increases the weight of the public information in the messages, decreasing their in- formativeness. More pr...
| Main Authors: | , |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Oxford Finance
2008
|
| _version_ | 1797055978884038656 |
|---|---|
| author | Desgranges, G Rochon, C |
| author_facet | Desgranges, G Rochon, C |
| author_sort | Desgranges, G |
| collection | OXFORD |
| description | We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's in- formation is a message sent by an analyst. Conformism increases the weight of the public information in the messages, decreasing their in- formativeness. More precise public information does not always result in more precise messages. A larger precision of the analysts informa- tion does not always make the market more liquid and the price more informative. Conformism creates an overreaction of the price to pub- lic information. Using the price as a public signal does not alter the results. |
| first_indexed | 2024-03-06T19:17:01Z |
| format | Working paper |
| id | oxford-uuid:18c1f461-d5b8-4885-9ee7-44bb3d98a769 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:17:01Z |
| publishDate | 2008 |
| publisher | Oxford Finance |
| record_format | dspace |
| spelling | oxford-uuid:18c1f461-d5b8-4885-9ee7-44bb3d98a7692022-03-26T10:44:57ZConformism, Public News and Market Effciency.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:18c1f461-d5b8-4885-9ee7-44bb3d98a769EnglishDepartment of Economics - ePrintsOxford Finance2008Desgranges, GRochon, CWe study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's in- formation is a message sent by an analyst. Conformism increases the weight of the public information in the messages, decreasing their in- formativeness. More precise public information does not always result in more precise messages. A larger precision of the analysts informa- tion does not always make the market more liquid and the price more informative. Conformism creates an overreaction of the price to pub- lic information. Using the price as a public signal does not alter the results. |
| spellingShingle | Desgranges, G Rochon, C Conformism, Public News and Market Effciency. |
| title | Conformism, Public News and Market Effciency. |
| title_full | Conformism, Public News and Market Effciency. |
| title_fullStr | Conformism, Public News and Market Effciency. |
| title_full_unstemmed | Conformism, Public News and Market Effciency. |
| title_short | Conformism, Public News and Market Effciency. |
| title_sort | conformism public news and market effciency |
| work_keys_str_mv | AT desgrangesg conformismpublicnewsandmarketeffciency AT rochonc conformismpublicnewsandmarketeffciency |