Arnold, Lutz G. and Russ, David (2024) Listening to the noise: On price efficiency with dynamic trading. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 93 (PartB). pp. 103-120. ISSN 1059-0560, 1873-8036
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This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of big data and advances in the way of processing it, exacerbates, rather than ameliorates, the negative impact of noise trading on price efficiency.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | BEAUTY CONTEST; INFORMATION; SENTIMENT; EXPECTATIONS; AGGREGATION; DISCLOSURE; SURVIVAL; TALK; Social sentiment investing; Price efficiency; Noise trading; Information aggregation |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Theoretische Volkswirtschaft (Prof. Dr. Lutz Arnold) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 04 Dec 2025 06:02 |
| Last Modified: | 04 Dec 2025 06:02 |
| URI: | https://pred.uni-regensburg.de/id/eprint/64586 |
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