The speed of stock price discovery

被引：5
|
作者：
Gavious, Arieh [1 ,2 ]
Kedar-Levy, Haim [1 ,3 ]
机构：
[1] Ono Acad Coll, Kiryat Ono, Israel
[2] Ben Gurion Univ Negev, Fac Engn Sci, Dept Ind Engn & Management, IL-84105 Beer Sheva, Israel
[3] Ben Gurion Univ Negev, Guilford Glazer Sch Business & Management, IL-84105 Beer Sheva, Israel
来源：
JOURNAL OF FINANCIAL INTERMEDIATION | 2013年 / 22卷 / 02期
关键词：
Speed; Price discovery; Microstructure; Asset pricing; Wealth effects; MARKET-EFFICIENCY; INTRADAY SPEED; ASSET PRICES; ADJUSTMENT; INFORMATION; TIME; DEMAND; MODEL; ANNOUNCEMENTS; EQUILIBRIUM;
D O I：
10.1016/j.jfi.2012.09.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop closed-form expressions for the path and speed of stock price discovery in a utility-based CAPM with wealth effects. Two investors with uniquely bounded risk-preferences always apply opposite portfolio rebalancing trades. These trades determine the intra-period path and speed of price discovery in a Walrasian, tatonnement setup. While conditions for maximum speed exist, convergence is rapid over a wide range of endowments and preferences. Convergence to equilibrium is exponential, and its speed depends on endowments, risk-preferences, firm size, and market price for risk. Convergence is not guaranteed, and the conditions for divergence are specified. (C) 2012 Elsevier Inc. All rights reserved.
引用
收藏
页码：245 / 258
页数：14
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