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Title:Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models PDF Logo
Authors:Hermsen, Oliver
Witte, Björn-Christopher
Westerhoff, Frank
Issue Date:2009
Series/Report no.:Economics Discussion Papers 2009-51
Abstract:We explore how disclosure requirements that regulate the release of new information may affect the dynamics of financial markets. Our analysis is based on three agentbased financial market models that are able to produce realistic financial market dynamics. We discover that the average deviation between market prices and fundamental values increases if new information is released with a delay, while the average price volatility is virtually unaffected by such regulations. Interestingly, the tails of the distribution of returns become fatter if fundamental data is released less continuously, indicating an increase in financial market risk.
Subjects:Agent-based financial market models
market efficiency
release of new information
disclosure requirements
regulation of financial markets
Monte Carlo analysis
JEL:G14
G18
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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