Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models

Oliver Hermsen, Björn-Christopher Witte and Frank Westerhoff

No 2009-51, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: We explore how disclosure requirements that regulate the release of new information may affect the dynamics of financial markets. Our analysis is based on three agentbased financial market models that are able to produce realistic financial market dynamics. We discover that the average deviation between market prices and fundamental values increases if new information is released with a delay, while the average price volatility is virtually unaffected by such regulations. Interestingly, the tails of the distribution of returns become fatter if fundamental data is released less continuously, indicating an increase in financial market risk.

Keywords: Agent-based financial market models; market efficiency; release of new information; disclosure requirements; regulation of financial markets; Monte Carlo analysis (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-acc, nep-cfn and nep-mst
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http://www.economics-ejournal.org/economics/discussionpapers/2009-51
https://www.econstor.eu/bitstream/10419/28944/1/614393884.pdf (application/pdf)

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Journal Article: Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:200951

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