Abstract
A series of laboratory asset markets is conducted to examine the effect of noisy information releases on security prices. The price reaction to a given information release has been hypothesized to be positively related to the degree of uncertainty just prior to the release and negatively related to the degree of noise in the information itself. A series of two-period markets is conducted with noisy information provided between periods. Prior uncertainty and noise are manipulated. Using a random effects regression procedure, strong support is found for both hypotheses.
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Coller, M. Information, noise, and asset prices: An experimental study. Rev Acc Stud 1, 35–50 (1996). https://doi.org/10.1007/BF00565411
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DOI: https://doi.org/10.1007/BF00565411