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Public signals and information aggre...

Gilbert, Thomas Jacques Jose.

Public signals and information aggregation in financial markets.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Public signals and information aggregation in financial markets.
作者:	Gilbert, Thomas Jacques Jose.
面頁冊數:	157 p.
附註:	Adviser: Richard K. Lyons.
附註:	Source: Dissertation Abstracts International, Volume: 69-10, Section: A, page: .
Contained By:	Dissertation Abstracts International69-10A.
標題:	Economics, Finance.
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3334308
ISBN:	9780549874638

Public signals and information aggregation in financial markets.
Gilbert, Thomas Jacques Jose.

Public signals and information aggregation in financial markets. - 157 p.

Adviser: Richard K. Lyons.

Thesis (Ph.D.)--University of California, Berkeley, 2008.

Investors have access to a significant amount of information when making decisions. The three chapters of this dissertation address the impact that public releases of information have on agent decision-making and stock returns.

ISBN: 9780549874638Subjects--Topical Terms:

212585
Economics, Finance.

Public signals and information aggregation in financial markets.
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500 $a Adviser: Richard K. Lyons.
500 $a Source: Dissertation Abstracts International, Volume: 69-10, Section: A, page: .
502 $a Thesis (Ph.D.)--University of California, Berkeley, 2008.
520 $a Investors have access to a significant amount of information when making decisions. The three chapters of this dissertation address the impact that public releases of information have on agent decision-making and stock returns.
520 $a Investors with limited attention have an incentive to focus on summary statistics rather than individual pieces of information. The second chapter uses this observation to form a test of the impact of limited attention on the aggregate stock market: The market's response to a macroeconomic release that is purely a summary statistic, the Leading Economic Index. Its announcement has an impact on aggregate stock returns, volatility, and trading volume. Furthermore, the response to the Index is higher for stocks which inattentive investors are more likely to trade.
520 $a The first chapter reports an experimental test of how, when observing others' actions, participants learn more than just others' information. Subjects face two publicly available information sets: (1) the necessary and sufficient payoff-maximizing information and (2) the decisions of previous players. Accurate players make small errors no matter what information set they face. However, inaccurate players learn to improve their decision-making process and perform much better when others' decisions are public.
520 $a The third chapter analyzes the link between macroeconomic announcement surprises, intradaily returns on the S&P500 Index, and the subsequent revisions to the announced data. Announcement-day returns contain information about the future revisions of the released figures. This information is unrelated to the initial announcement surprises and predicts the future revisions: Prices increase when the subsequent revisions will be positive. I develop a rational expectations trading model where the final payoff is the sum of non-overlapping fractions of the economy that were previously observed as private signals. A preliminary public announcement does not convey new information to the market per se, but rather allows investors to deduce other investors' information. In turn, this allows them to assess the inaccuracy of the public signal and therefore estimate its future revision. In equilibrium, the risky asset's price changes in anticipation of the public signal's revision, even though the initial surprise may be in the opposite direction.
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