Dampening effect and market efficiency

DOI10.1016/j.jedc.2023.104604zbMath1514.91211OpenAlexW4317357913MaRDI QIDQ6164878

Mng Guo

Publication date: 4 July 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104604

zbMATH Keywords

aggregate riskdampening effectcontrarian tradingGrossman-Stiglitz-style and Kyle-style modelsprice informativeness and short-term return reversals

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• Institutional Investors and Equity Prices
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• Smart Money, Noise Trading and Stock Price Behaviour
• Insider Trading without Normality
• Smooth Trading with Overconfidence and Market Power
• Insider Trading, Stochastic Liquidity, and Equilibrium Prices
• Strategic Trading in Informationally Complex Environments
• A Model of Intertemporal Asset Prices Under Asymmetric Information