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• W418219835 abstract "This paper addresses how information transmissions among traders affect the stock price formations, especially emerging the predictability of stock prices, in financial markets. An agent-based model, which is a simple extension of the traditional noisy rational equilibrium model for considering the information transmission process, is introduced to analyze the problem. The agent-based model, called the word of mouth model, provides a simple, but sufficiently versatile description of informational diffusion process and allows us to examine why the momentum of stock price emerges and is clearly observed in the small-sized stocks. This phenomenon is a stylized facts in financial markets but difficult to resolve by traditional models. We will see that the information transmission among traders may play an important role for emerging this type of the predictability. This study may be said to be a theoretical attempt to provide a rigorous examination of the under reaction hypothesis regarding informational shocks." @default.
• W418219835 created "2016-06-24" @default.
• W418219835 creator A5008652634 @default.
• W418219835 creator A5012367636 @default.
• W418219835 creator A5021819151 @default.
• W418219835 creator A5053564651 @default.
• W418219835 creator A5078176211 @default.
• W418219835 date "2007-01-01" @default.
• W418219835 modified "2023-09-24" @default.
• W418219835 title "Information transmission and the predictability of stock returns: an agent-based approach" @default.
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