Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 1,047

The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.

Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

ROSS, STEPHEN A.·1989·The Journal of Finance
DOI 10.1111/j.1540-6261.1989.tb02401.x
Open this paper in CoChat — free account

Abstract

The no‐arbitrage martingale analysis is used to study the effect on asset prices of changes in the rate of information flow. The analysis is first used to develop some simple tools for asset pricing in a continuous‐time setting. These tools are then applied to determine the effect of information on prices and price volatility, to extend Samuelson's theorem on prices fluctuating randomly, and to study the impact on prices of the resolution of uncertainty. The conditions under which uncertainty resolution is irrelevant for asset pricing are shown to be similar to those which support the MM irrelevance theorems.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.1111/j.1540-6261.1989.tb02401.x

Cites

15 of 15 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 15 references

Cited by

See all 1,047

Metadata

Authors
ROSS, S. A.
Venue
The Journal of Finance
Publisher
Wiley
Published
1989-03
Volume
44
Issue
1
Pages
1-17
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1989.tb02401.x
OpenAlex
W2106988883
Cited by
1,047
References
15
FWCI
16.32
Type
journal article
Language
en
Open access
closed

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy. https://app.cochat.ai/papers/10.1111/j.1540-6261.1989.tb02401.x
The paper
ROSS, S. A. (1989). Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1989.tb02401.x

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.