The DOI matches its Crossref record.
Information Leakage and Market Efficiency
Open accessAbstract
This article analyzes the effects of information leakage on trading behavior and market efficiency. A trader who receives a noisy signal about a forthcoming public announcement can exploit it twice. First, when he receives it, and second, after the public announcement since he knows best the extent to which his information is already reflected in the pre-announcement price. Given his information he expects the price to overshoot and intends to partially revert his trade. While information leakage makes the price process more informative in the short-run, it reduces its informativeness in the long-run. The analysis supports Securities and Exchange Commission's Regulation Fair Disclosure.
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Citations
Cited by
All the News That's Fit to Reprint: Do Investors React to Stale Information?
Tetlock, P. C. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhq141 · Cited by 677
Metadata
- Authors
- Brunnermeier, M. K.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2005
- Volume
- 18
- Issue
- 2
- Pages
- 417-457
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2112044974
- Cited by
- 202
- References
- 0
- FWCI
- 4.54
- Type
- journal article
- Language
- en
- Open access
- green
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- Brunnermeier, M. K. (2005). Information Leakage and Market Efficiency. Review of Financial Studies. https://doi.org/10.1093/rfs/hhi015
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
