Media frenzies in markets for financial information

被引：142
|
作者：
Veldkamp, Laura L. [1 ]
机构：
[1] NYU, Stern Sch Business, Dept Econ, New York, NY 10012 USA
来源：
AMERICAN ECONOMIC REVIEW | 2006年 / 96卷 / 03期
关键词：
D O I：
10.1257/aer.96.3.577
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Emerging equity markets witness occasional surges in prices (frenzies) and cross-market price dispersion (herds), accompanied by abundant media coverage. An information market complementarity can explain these anomalies. Because information has high fixed costs, high volume makes it inexpensive. Low prices induce investors to buy information that others buy. Given two identical assets, investors learn about one; abundant information reduces its payoff risk and raises its price. Transitions between low-information/low-asset-price and high-information/high-asset-price equilibria resemble frenzies. Equity data and new panel data on news coverage support the model's predictions: Asset market movements generate news and news raises prices and price dispersion.
引用
收藏
页码：577 / 601
页数：25
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