Год выпуска: 2008 Автор: Hai Lu Издательство: Страниц: 128 ISBN: 3639044517
Описание
The study investigates the boundary of market efficiency and the diffusion mechanism in capital markets. A stylized information diffusion model is presented to describe the process by which investors gradually assimilate the information following an information event. The model suggests that a diffusion process depends on both a drift and a diffusion force. If prices have converged before the drift force disappears, the diffusion phenomenon is difficult to observe. Otherwise, the diffusion force dominates in the longer horizon and imposes a boundary on market efficiency. The model indicates that the speed of information diffusion depends on information content, information conductivity, and information shock absorption capacity. Each signal has a different degree of information content, and each firm has a unique information conductivity. Consequently, the information on different firms diffuses across investors at different rates. Several implications from this diffusion model are...