Information disclosure,chasing noise and price discovery
Public information usually functions as the decision signal for rational traders,but abundant evi-dence shows that public information can also trigger noise traders to capture the market's reaction and then adopt trend trading.In this context,the impact of public information disclosure on price discovery is investi-gated.It is shown that when the precision of public information is greater than a certain threshold,information disclosure is conducive to price discovery.However,when the precision of information disclosure is less than the threshold,the results are different.If noise traders have a weak trading trend,information disclosure pro-motes price discovery.As the noise trading tendency increases,the noise integrated into price increases,and the price informativeness decreases,then information disclosure hinders price discovery.When noise traders have a strong trend trading,the rational traders can easily learn the noise in public information from the price,which can weaken the noise trading;hence,information disclosure is beneficial to price discovery.Our model shows that the key to promoting price discovery through information disclosure lies in improving the quality of information disclosure and advocating for rational trading.
public informationnoise tradingprice discoveryinformation acquisition
万方数据
维普
