How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

Page, L; Siemroth, C

How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence

Page, L

Siemroth, C

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Publisher:: Oxford University Press (OUP)
Publication Type:: Journal Article
Citation:: Review of Financial Studies, 2021, 34, (9), pp. 4412-4449
Issue Date:: 2021-09-01

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Field	Value	Language
dc.contributor.author	Page, L https://orcid.org/0000-0002-6020-9733
dc.contributor.author	Siemroth, C
dc.date.accessioned	2021-12-20T02:40:43Z
dc.date.available	2021-12-20T02:40:43Z
dc.date.issued	2021-09-01
dc.identifier.citation	Review of Financial Studies, 2021, 34, (9), pp. 4412-4449
dc.identifier.issn	0893-9454
dc.identifier.issn	1465-7368
dc.identifier.uri	http://hdl.handle.net/10453/152410
dc.description.abstract	We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information - less than 50% - is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.
dc.language	en
dc.publisher	Oxford University Press (OUP)
dc.relation.ispartof	Review of Financial Studies
dc.relation.isbasedon	10.1093/rfs/hhaa143
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1401 Economic Theory, 1402 Applied Economics, 1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence
dc.type	Journal Article
utslib.citation.volume	34
utslib.for	1401 Economic Theory
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access	*
dc.date.updated	2021-12-20T02:40:42Z
pubs.issue	9
pubs.publication-status	Published
pubs.volume	34
utslib.citation.issue	9

Abstract:

We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information - less than 50% - is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/152410