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Conformism, Public News and Market Effciency.

Abstract:

We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's in- formation is a message sent by an analyst. Conformism increases the weight of the public information in the messages, decreasing their in- formativeness. More precise public information does not always result in more precise messages. A larger precision of the analysts informa- tion does not always make the market more liquid and the price more informative. Con...

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Gabriel Desgranges More by this author
Celine Rochon More by this author
Volume:
2008-FE-16
Series:
Financial Economics Working Papers
Publication date:
2008
URN:
uuid:18c1f461-d5b8-4885-9ee7-44bb3d98a769
Local pid:
oai:economics.ouls.ox.ac.uk:14092
Language:
English

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