Learning Process of Uninformed Traders and Information Efficiency
This paper investigates the relationship between learning process of uninformed traders and information efficiency in the security market in which there are short-sale constraints, financing constraints, asymmetric information and difference in opinions between the traders. Using Bayes Law, we formulated the speed of information convergence (SIC), and found that the private information can be revealed at an exponential convergence speed. Short-sale constraints and financing constraints will decrease the SIC. Short-sale constraints restrain the bad news much worse, and financing constraints restrain the good news much worse, the SIC will increase with the proportion of informed traders. The more the traders opinions are centralized, the quicker the private information is reveaed.
Speed of information convergence Asymmetric information Difference in opinions Short-sale constraints Financing constraints
Mianbi Xie
School of Finance and Economics Jimei University Xiamen, China
国际会议
北京
英文
745-749
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）