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hal.structure.identifierInstitut de Recherche Interdisciplinaire en Sciences Sociales [IRISSO]
dc.contributor.authorBiondi, Yuri
HAL ID: 181420
ORCID: 0000-0002-5545-5550
hal.structure.identifierInstituto di Geoscienze e Georisorce [Pisa] [IGG]
dc.contributor.authorRighi, Simone
dc.date.accessioned2020-10-03T11:29:09Z
dc.date.available2020-10-03T11:29:09Z
dc.date.issued2020
dc.identifier.issn1860-711X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21052
dc.language.isoenen
dc.subjectMarket efficiencyen
dc.subjectDisclosureen
dc.subjectInformation diffusionen
dc.subjectAgent-based modellingen
dc.subject.ddc306.3en
dc.subject.classificationjelM.M4.M48en
dc.subject.classificationjelM.M4.M41en
dc.subject.classificationjelE.E3.E37en
dc.subject.classificationjelE.E1.E17en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelD.D4.D47en
dc.subject.classificationjelC.C6.C63en
dc.subject.classificationjelG.G1.G17en
dc.subject.classificationjelG.G1.G14en
dc.titleMuch ado about making money: the impact of disclosure, news and rumors on the formation of security market prices over timeen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article develops an agent-based model of security market pricing process, capable to capture main stylised facts. It features collective market pricing mechanisms based upon evolving heterogenous expectations that incorporate signals of security issuer fundamental performance over time. Distinctive signaling sources on this performance correspond to institutional mechanisms of information diffusion. These sources differ by duration effect (temporary, persistent, and permanent), confidence, and diffusion degree among investors over space and time. Under full and immediate diffusion and balanced reaction by all the investors, the value content of these sources is expected to be consistently and timely integrated by the market price process, implying efficient pricing. By relaxing these quite heroic conditions, we assess the impact of distinctive information sources over market price dynamics, through financial systemic properties such as market price volatility, exuberance and errancy, as well as market liquidity. Our simulation analysis shows that transient information shocks can have permanent effects through mismatching reactions and self-reinforcing feedbacks, involving mispricing in both value and timing relative to the efficient market price series. This mispricing depends on both the information diffusion process and the ongoing information confidence mood among investors over space and time. We illustrate our results through paradigmatic cases of stochastic news, before generalising them to autocorrelated news. Our results are further corroborated by robustness checks over the parameter space and across several market trading mechanisms.en
dc.relation.isversionofjnlnameJournal of Economic Interaction and Coordination
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnldate2020
dc.relation.isversionofjnlpages333-362en
dc.relation.isversionofdoi10.1007/s11403-017-0201-8en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelSociologie économiqueen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2020-09-14T10:19:03Z
hal.identifierhal-02956731*
hal.version1*
hal.author.functionaut
hal.author.functionaut


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