Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38767
Authors: 
Witte, Björn-Christopher
Year of Publication: 
2009
Series/Report no.: 
BERG Working paper series on government and growth 64
Abstract: 
This study seeks to explore, how market efficiency changes, if ordinary traders receive fundamental news more or less often. We show that longer temporal information gaps lead to fewer but larger shocks and a reduction of the average noise level on the dynamics. The consequences of these effects for market efficiency are ambiguous. Longer temporal information gaps can deteriorate or improve market efficiency. The concrete result depends on the stability of the market together with the interval in which the length of the gap is incremented.
Subjects: 
Temporal information gaps
market efficiency
disclosure policy
agent-based financial market models
technical and fundamental analysis
JEL: 
G12
G14
ISBN: 
978-3-931052-71-3
Document Type: 
Working Paper

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