Overweighting of public information in financial markets: A lesson from the lab
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Otros documentos de la autoría: Ruiz-Buforn, Alba; Camacho Cuena, Eva; MORONE, ANDREA; Alfarano, Simone
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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Título
Overweighting of public information in financial markets: A lesson from the labFecha de publicación
2021-08-18Editor
ElsevierISSN
0378-4266Cita bibliográfica
RUIZ-BUFORN, Alba, et al. Overweighting of public information in financial markets: A lesson from the lab. Journal of Banking & Finance, 2021, vol. 133, p. 106298.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S0378426621002508?via%3DihubVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
We study the information aggregation process in a laboratory financial market where traders have access to costly private and free public imperfect information. The public disclosure provokes (i) a crowding-out effect ... [+]
We study the information aggregation process in a laboratory financial market where traders have access to costly private and free public imperfect information. The public disclosure provokes (i) a crowding-out effect on traders’ information demand, (ii) a market overreaction to the public signal, and (iii) a deterioration in price informativeness. We show that the reduction in price informativeness is a direct consequence of the overweighting of public information when aggregated in prices. Moreover, we provide experimental evidence for the theoretical conjecture that the overweighting effect and the subsequent market overreaction to public disclosures are directly related to traders’ second- (or higher) order beliefs. From an economic policy perspective, we provide support that when deciding on a communication strategy, regulatory institutions can smooth the market overreaction by properly setting the level of transparency of their disclosures. [-]
Publicado en
Journal of Banking and Finance 133 (2021) 106298Datos relacionados
https://ars.els-cdn.com/content/image/1-s2.0-S0378426621002508-mmc1.ziphttp://hdl.handle.net/10234/194878
Entidad financiadora
Universitat Jaume I | Ministerio de Ciencia, Innovación y Universidades (Spain) | Ministerio de Educación
Código del proyecto o subvención
UJI-B2018- 77 | RTI2018-096927-B-I00 | FPU2014/01104
Derechos de acceso
info:eu-repo/semantics/openAccess
Aparece en las colecciones
- ECO_Articles [693]