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2008-03-11Buch DOI: 10.18452/4117
Price Adjustment to News with Uncertain Precision
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorHess, Dieter
dc.contributor.authorMüller, Christoph
dc.date.accessioned2017-06-15T23:40:32Z
dc.date.available2017-06-15T23:40:32Z
dc.date.created2008-03-19
dc.date.issued2008-03-11
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4769
dc.description.abstractBayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news’ precision is rarely disclosed. Therefore, we extend standard Bayesian learning allowing traders to infer news’ precision from two different sources. If information is perceived to be imprecise, prices react stronger. Moreover, interactions of the different precision signals affect price responses nonlinearly. Empirical tests based on intra-day T-bond futures price reactions to employment releases confirm the model’s predictions and reveal statistically and economically significant effects of news’ precision.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBayesian learningeng
dc.subjectinformation qualityeng
dc.subjectprecision signalseng
dc.subjectmacroeconomic announcementseng
dc.subject.ddc330 Wirtschaft
dc.titlePrice Adjustment to News with Uncertain Precision
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10087083
dc.identifier.doihttp://dx.doi.org/10.18452/4117
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages47
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2008
local.edoc.container-issue25
local.edoc.container-year2008
local.edoc.container-erstkatid2195055-6

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