THE EFFECT OF SEQUENTIAL INFORMATION RELEASES ON THE VARIANCE OF PRICE CHANGES IN AN INTERTEMPORAL MULTI-ASSET MARKET
THE EFFECT OF SEQUENTIAL INFORMATION RELEASES ON THE VARIANCE OF PRICE CHANGES IN AN INTERTEMPORAL MULTI-ASSET MARKET
复制标题
DOI：
10.2307/2491114
复制
发表时间：
1988-01
影响因子：
4.4
通讯作者：
Robert W. Holthausen;Robert E. Verrecchia
中科院分区：
文献类型：
--
作者：
Robert W. Holthausen;Robert E. Verrecchia
本文从理论角度考察了信息发布价格反应幅度的几个决定因素，并指出这些因素是如何影响新信息价格反应幅度的。我们将价格的变化模拟为一系列关于两种风险资产清算红利的公开信息发布。市场拥有关于这两种资产清算红利的均值和方差的先验信息，以及它们的横截面相关性。每个风险资产有两次信息发布，每次信息发布都是由所有人同时接收的
This paper considers several determinants of the magnitude of price reactions to information releases from a theoretical perspective, and indicates how those factors affect the magnitude of price responses to new information. We model the change in price to a sequence of public information releases about the liquidating dividends of two risky assets. The market possesses prior information about the mean and variance of the liquidating dividends of the two assets, as well as their cross-sectional correlation. There are two information releases about each of the risky assets and each information release is received simultaneously by all