Identifying Price Informativeness
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References listed on IDEAS
- Bai, Jennie & Philippon, Thomas & Savov, Alexi, 2016.
"Have financial markets become more informative?,"
Journal of Financial Economics, Elsevier, vol. 122(3), pages 625-654.
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Citations
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Cited by:
- Maryam Farboodi & Adrien Matray & Laura Veldkamp & Venky Venkateswaran, 2020. "Where Has All the Data Gone?," NBER Working Papers 26927, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2022. "Active and Passive Investing: Understanding Samuelson’s Dictum [A noisy rational expectations equilibrium for multi-asset securities markets]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(2), pages 389-446.
- Dávila, Eduardo & Parlatore, Cecilia, 2023.
"Volatility and informativeness,"
Journal of Financial Economics, Elsevier, vol. 147(3), pages 550-572.
- Eduardo Dávila & Cecilia Parlatore, 2019. "Volatility and Informativeness," NBER Working Papers 25433, National Bureau of Economic Research, Inc.
- Eduardo Dávila & Cecilia Parlatore, 2021.
"Trading Costs and Informational Efficiency,"
Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
- Cecilia Parlatore & Eduardo Davila, 2016. "Trading Costs and Informational Efficiency," 2016 Meeting Papers 494, Society for Economic Dynamics.
- Eduardo Dávila & Cecilia Parlatore, 2019. "Trading Costs and Informational Efficiency," NBER Working Papers 25662, National Bureau of Economic Research, Inc.
- Chen, Deqiu & Ma, Yujing & Martin, Xiumin & Michaely, Roni, 2022.
"On the fast track: Information acquisition costs and information production,"
Journal of Financial Economics, Elsevier, vol. 143(2), pages 794-823.
- Deqiu Chen & Yujing Ma & Xiumin Martin & Roni Michaely, 2020. "On the Fast Track: Information Acquisition Costs and Information Production," Swiss Finance Institute Research Paper Series 20-14, Swiss Finance Institute.
- Gholampour, Vahid, 2022. "Exchange rates and information about future fundamentals," Journal of International Money and Finance, Elsevier, vol. 127(C).
- Laura Veldkamp, 2023. "Valuing Data as an Asset," Review of Finance, European Finance Association, vol. 27(5), pages 1545-1562.
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More about this item
JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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