Conformism, Public News and Market Efficiency

Gabriel Desgranges and Céline Rochon ()
Additional contact information
Céline Rochon: Saïd Business School, University of Oxford

No 2008-24, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's in- formation is a message sent by an analyst. Conformism increases the weight of the public information in the messages, decreasing their in- formativeness. More precise public information does not always result in more precise messages. A larger precision of the analysts informa- tion does not always make the market more liquid and the price more informative. Conformism creates an overreaction of the price to pub- lic information. Using the price as a public signal does not alter the results.

Keywords: public information; asymmetric information; conformism; revelation of information by prices; rational expectations (search for similar items in EconPapers)
JEL-codes: D82 D84 G14 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://thema.u-cergy.fr/IMG/documents/2008-24.pdf (application/pdf)

Related works:
Working Paper: Conformism, Public News and Market Efficiency (2008)
Working Paper: Conformism, Public News and Market Effciency (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2008-24

Access Statistics for this paper

More papers in THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Contact information at EDIRC.
Bibliographic data for series maintained by Stefania Marcassa ( this e-mail address is bad, please contact ).