Matches in SemOpenAlex for { <https://semopenalex.org/work/W2103605475> ?p ?o ?g. }
- W2103605475 abstract "In standard rational expectations models, investors know whether others are informed, and therefore know how to update their beliefs using prices. We develop a dynamic model in which investors must learn whether others are informed and, therefore, learn how to use the information in prices. We show that the price is a non-linear function of the underlying signal, and expected returns and volatility are stochastic and persistent, even though shocks to fundamentals and signals are i.i.d. The price reaction to information about dividends is asymmetric: the price reacts more strongly to bad news than it does to good news. The model also generates volatility clustering in which large return realizations, which are associated with dividend surprises, are followed by higher volatility and higher expected returns." @default.
- W2103605475 created "2016-06-24" @default.
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- W2103605475 date "2012-01-01" @default.
- W2103605475 modified "2023-10-04" @default.
- W2103605475 title "Learning whether other Traders are Informed" @default.
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