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- W3149905902 abstract "Abstract We present a model of multi-period continuous information diffusion in financial markets. We show that price and trading volume exhibit asymmetric term structures to information flow, where the diffusion rate accelerates more slowly at short horizons than it decelerates at long horizons. Bounded rationality is modelled by an endogenous trader confidence index which declines as stock price information becomes noisier, where lower confidence translates into lower trading volume and slower price accretion. Information diffusion slows and asymmetries are accentuated as traders lose confidence in information accuracy. Our empirical findings support the model's predictions of asymmetric momentum patterns and confidence effects." @default.
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- W3149905902 date "2021-07-01" @default.
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- W3149905902 title "A model of information diffusion with asymmetry and confidence effects in financial markets" @default.
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- W3149905902 doi "https://doi.org/10.1016/j.najef.2021.101404" @default.
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