The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.
Information Markets and the Comovement of Asset Prices
Abstract
Traditional asset pricing models predict that covariance between prices of different assets should be lower than what we observe in the data. This paper introduces markets for information that generate high price covariance within a rational expectations framework. When information is costly, rational investors only buy information about a subset of the assets. Because information production has high fixed costs, competitive producers charge more for low-demand information than for high-demand information. The low price of high-demand information makes investors want to purchase the same information that others are purchasing. When investors price assets using a common subset of information, news about one asset affects the other assets' prices; asset prices comove. The cross-sectional and time-series properties of comovement are consistent with this explanation.
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Cites
An Intertemporal Capital Asset Pricing Model
Merton, R. C. (1973) · Econometrica · doi:10.2307/1913811 · Cited by 6,508
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Morck, R., Yeung, B., & Yu, W. (2000) · Journal of Financial Economics · doi:10.1016/s0304-405x(00)00071-4 · Cited by 3,335
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
Hong, H., Lim, T., & Stein, J. C. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00206 · Cited by 2,611
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00318 · Cited by 2,415
Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
Mankiw, N. G., & Reis, R. (2002) · The Quarterly Journal of Economics · doi:10.1162/003355302320935034 · Cited by 2,292
What Determines Corporate Transparency?
BUSHMAN, R. M., PIOTROSKI, J. D., & SMITH, A. J. (2004) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2004.00136.x · Cited by 2,176
Transmission of Volatility between Stock Markets
King, M. A., & Wadhwani, S. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.1.5 · Cited by 1,586
Transmission of Volatility Between Stock Markets
King, M., & Wadhwani, S. (1989) · National Bureau of Economic Research · doi:10.3386/w2910 · Cited by 1,516
Cited by
Testing Asymmetric-Information Asset Pricing Models
Kelly, B., & Ljungqvist, A. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhr134 · Cited by 580
Investor Attention and Stock Market Volatility
Andrei, D., & Hasler, M. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu059 · Cited by 567
Large controlling shareholders and stock price synchronicity
Boubaker, S., Mansali, H., & Rjiba, H. (2014) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.11.022 · Cited by 260
Metadata
- Authors
- Veldkamp, L. L.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2006-07
- Volume
- 73
- Issue
- 3
- Pages
- 823-845
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W3122323226
- Cited by
- 409
- References
- 38
- FWCI
- 21.57
- Type
- journal article
- Language
- en
- Open access
- closed
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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.
