Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-15T12:04:50.957Z Has data issue: false hasContentIssue false
  • English
  • Français

Information Dissemination and Portfolio Choice

Published online by Cambridge University Press:  06 April 2009

Robert H. Jennings  and
Christopher B. Barry
Get access Rights & Permissions [Opens in a new window]

Extract

The process of security price adjustment to the release of new information has long held the interest of the finance profession, both in academics and in practice. The efficiency of financial markets in reflecting new information significantly impacts the allocation of capital and income within the markets1 and, consequently, can affect social welfare. Thus, public, business, and investment policies are all related to an understanding of the functioning of security markets and their utilization of information. As a result, a significant body of economic research has considered the impact of information upon security markets under a number of alternative market structures. In this paper, we attempt to contribute to this literature by extending previous research in the two related areas of speculation and information dissemination.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 1 , March 1983 , pp. 1 - 19
Copyright
Copyright © School of Business Administration, University of Washington 1983

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Arrow, K. “The Role of Securities in the Optimal Allocation of Risk Bearing.” Review of Economic Studies, Vol. 31 (04 1964), pp. 91–96.Google Scholar
[2]Baron, D. “Information, Investment Behavior and Efficient Portfolios.” Journal of Financial and Quantitative Analysis, Vol. 9 (09 1974), pp. 555–566.Google Scholar
[3]Beaver, W. “Market Efficiency.” The Accounting Review, Vol. 56 (01 1981), pp. 23–37.Google Scholar
[4]Copeland, T. “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” Journal of Finance, Vol. 31 (09 1976), pp. 1149–1168.Google Scholar
[5]Debreu, G.Theory of Value. NY: John Wiley and Sons, Inc. (1959).Google Scholar
[6]DeGroot, M.Probability and Statistics. Reading, MA: Addison-Wesley (1975).Google Scholar
[7]Diamond, D., and Verrecchia, R.. “Information Aggregation in a Noisy Rational Expectations Economy.” Journal of Financial Economics, Vol. 9 (09 1981), pp. 221–236.Google Scholar
[8]Feiger, G. “What is Speculation?” Quarterly Journal of Economics, Vol. 90 (11 1976), pp. 677–687.Google Scholar
[9]Goldman, M. B., and Sosin, H.. “Information Dissemination, Market Efficiency and the Frequency of Transactions.” The Journal of Financial Economics, Vol. 7 (03 1979), pp. 29–61.Google Scholar
[10]Green, J. “Information, Efficiency, and Equilibrium.” Discussion paper no. 284, Harvard Institute of Economic Research (1973).Google Scholar
[11]Grossman, S. “On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information.” Journal of Finance, Vol. 31 (05 1975), pp. 573–583.Google Scholar
[12]Grossman, S., and Stiglitz, J.. “On the Impossibility of Informationally Efficient Markets.” American Economic Review. Vol. 70 (06 1980), pp. 393–408.Google Scholar
[13] Grossman, S., and Stiglitz, J.. “Information and Competitive Price Systems.” American Economic Review, Vol. 66 (05 1976), pp. 246–253.Google Scholar
[14]Hakansson, N. “On Optimal Myopic Portfolio Policies with and without Serial Correlation of Yields.” Journal of Business, Vol. 44 (07 1971), pp. 324–334.Google Scholar
[15]Hicks, J. R., Value and Capital, Second edition, London: Oxford University Press (1946).Google Scholar
[16]Hilmer, S., and Yu., P. “The Market Speed of Adjustment to New Information.” Journal of Financial Economics,” Vol. 7, (12 1979), pp. 321–354.Google Scholar
[17]Hirschleifer, J. “The Private and Social Value of Information and the Reward to Inventive Activity.” American Economic Review, Vol. 61 (09 1971), pp. 561–574.Google Scholar
[18]Hirschleifer, J. “Speculation and Equilibrium: Information, Risk and Markets.” The Quarterly Journal of Economics, Vol. 89 (11 1975), pp. 519–542.Google Scholar
[19]Hirschleifer, J. “Reply to Comments on ‘Speculation and Equilibrium: Information, Risk, and Markets.’” Quarterly Journal of Economics, Vol. 90 (11 1976), pp. 689–696.Google Scholar
[20]Huber, C. “The Private Value of Information in Exchange Markets.” Unpublished Ph.D. dissertation, Stanford University (08 1978).Google Scholar
[21]Jennings, R.; Starks, L.; and Fellingham, J.. “An Equilibrium Model of Asset Trading with Sequential Information Arrival.” The Journal of Finance, Vol. 36 (03 1981), pp. 143–162.Google Scholar
[22]Keynes, J. M.A Treatise on Money, Vol. 2, NY: Harcourt, Brace and Company (1930).Google Scholar
[23]Mossin, J. “Optimal Multiperiod Portfolio Policies.” Journal of Business, Vol. 41 (04 1968), pp. 215–229.Google Scholar
[24]Oldfield, G.; Rogalski, R.; and Jarrow, R.. “An Autoregressive Jump Process for Common Stock Returns.” Journal of Financial Economics, Vol. 5 (12 1977), pp. 389–418.Google Scholar
[25]Patell, J, and Wolfson, M.. “The Timing of Financial Accounting Disclosures and the Intraday Distribution of Security Price Changes.” Unpublished manuscript, Stanford University (1979).Google Scholar
[26]Pincus, M. “Information Characteristics of Accounting Earnings and Rapidity of Market Adjustment.” Unpublished manuscript, Washington University (1980).Google Scholar
[27]Pratt, J. “Risk Aversion in the Small and in the Large.” Econometrica, Vol. 32 (01–04 1964), pp. 122–136.Google Scholar
[28]Radner, R. “Competitive Equilibrium under Uncertainty.” Econometrica, Vol. 36 (01 1968), pp. 31–58.Google Scholar
[29]Raiffa, H., and Schlaifer, R.. Applied Statistical Theory. Cambridge, MA: M.I.T. Press (1961).Google Scholar
[30]Salant, R. “Hirshleifer on Speculation.” Quarterly Journal of Economics, Vol. 90 (11 1976), pp. 667–675.Google Scholar
[31]Savage, L.The Foundation of Statistics, NY: John Wiley and Sons, Inc. (1954).Google Scholar
[32]Sherman, C. “Unexpected Quarterly Earnings and the Speed of Stock Price Adjustment.” Dissertation proposal, University of Texas at Austin (12 1979).Google Scholar
[33]Shiller, R. J. “Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends?” American Economic Review, Vol. 71 (06 1981), pp. 421–436.Google Scholar
[34]Stiglitz, J. “Pareto Optimality and Competition.” Journal of Finance, Vol. 36 (05 1981), pp. 235–252.Google Scholar
[35]Verrecchia, R. “The Rapidity of Price Adjustments to Information.” The Journal of Accounting and Economics, Vol. 2 (03 1980), pp. 63–92.Google Scholar
[36]Verrecchia, R. “On the Relationship between Volume Reaction and Consensus of Investors: Implications for Interpreting Tests of Information Content.” Journal of Accounting Research, Vol. 19 (Spring 1981), pp. 271–283.Google Scholar
[37]Working, H. “Futures Trading and Hedging.” American Economic Review, Vol. 43 (06 1953), pp. 314–343.Google Scholar