Arbeitspapier
Price reactions to public announcements
We employ a parametric rational expectations equilibrium model to study the impact of public information releases on private information acquisition and asset prices in a large economy. We demonstrate that investors treat public information as a substitute for privately acquired information. Their attempts to substitute public for private information can amplify or even reverse the effect of public information releases on price volatility. The direction of the resulting change in price volatility is dependent on the level of public information regarding asset payoffs, the variance of asset payoffs, and the extent of supply shocks, implying that firms may differ in their optimal information release policies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 96-16
- Klassifikation
-
Wirtschaft
- Thema
-
Financial markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ramamurtie, B. Sailesh
Rebello, Michael J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ramamurtie, B. Sailesh
- Rebello, Michael J.
- Federal Reserve Bank of Atlanta
Entstanden
- 1996
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