Noisy information and the size effect in stock returns

DOI10.1007/S10436-014-0250-0MaRDI QIDQ2018553zbMATH OpenOpenAlexFDO

Authors Joel M. Vanden

Publication date 24 March 2015

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-014-0250-0

zbMATH Keywords

migrationnoisy informationnonlinear equilibriumsize effect

Mathematics Subject Classification ID

Economics of information (91B44) Actuarial science and mathematical finance (91G99)

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Cites work

• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Aggregation, determinacy, and informational efficiency for a class of economies with asymmetric information
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Information Acquisition in Financial Markets
• Information provision in financial markets
• Information, trade and common knowledge
• Informational asymmetries and a multiplier effect on price correlation and trading
• Informed Speculation with Imperfect Competition
• Insider Trading without Normality
• On the aggregation of information in competitive markets

Cited in

(2)

• Is there a size effect in the pricing of stocks in the chinese stock markets?: The case of bull versus bear markets
• Size effect in Indian equity market: myth or reality?

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