Disagreement about public information quality and informational price efficiency

• 成果类型: Article
• 署名作者: Huang, Chong; Lunawat, Radhika; Wang, Qiguang
• 署名单位: University of California System; University of California Irvine; Hong Kong Baptist University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103762
• 发表日期: 2024
• 关键词: Investor disagreement; Informational price efficiency; Dynamic REE model; trading volume; Price underreaction

摘要

Investors often hold differing opinions on public information quality. This paper shows that such investor disagreement provides a novel explanation for financial market dynamics around earnings announcements. We propose a rational expectations equilibrium model where investors disagree about the precision of a public signal, which separates a pre-news trading period from a post-news trading period. In equilibrium, investor disagreement about public signal precision diminishes informational price efficiency before the news, but enhances it afterward. Consequently, investor disagreement leads to a notable jump in informed trading around the news, a decline in abnormal trading volume before the news and a surge immediately after the news, and underreaction of stock price to announced earnings.