The distribution of information and the price efficiency of markets
Brice Corgnet (),
Mark DeSantis and
Journal of Economic Dynamics and Control, 2020, vol. 110, issue C
Apparently contradictory evidence has accumulated regarding the extent to which financial markets are informationally efficient. Shedding new light on this old debate, we show that differences in the distribution of private information may explain why informational efficiency can vary greatly across markets. We find that markets are informationally efficient when complete information is concentrated in the hands of competing insiders whereas they are less efficient when private information is dispersed across traders. A learning model helps to illustrate why inferring others’ private information from prices takes more time when information is more dispersed.
Keywords: Information aggregation; Information dispersion; Market efficiency; Experimental asset markets; Learning models; Cognitive finance (search for similar items in EconPapers)
JEL-codes: C92 G02 G14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: The Distribution of Information and the Price Efficiency of Markets (2019)
Working Paper: The distribution of information and the price efficiency of markets (2019)
Working Paper: The Distribution of Information and the Price Efficiency of Markets (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919300314
Access Statistics for this article
Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok
More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Haili He ().