2018
DOI: 10.3386/w25210
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Identifying Price Informativeness

Abstract: as well as seminar participants at SITE, Michigan Ross, and BYU for helpful comments and discussions. We are especially thankful to Alexi Savov for extended conversations on the topic of this paper, as well as for sharing code and data. Luke Min provided outstanding research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not bee… Show more

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Cited by 29 publications
(10 citation statements)
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“…We also consider price nonsynchronicity, the variance ratio, and the jump ratio which all respond consistently to our identifying shock. Our results also hold using the measure of Davila and Parlatore (2018).…”
supporting
confidence: 70%
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“…We also consider price nonsynchronicity, the variance ratio, and the jump ratio which all respond consistently to our identifying shock. Our results also hold using the measure of Davila and Parlatore (2018).…”
supporting
confidence: 70%
“…22 It is noteworthy that Bai, Philippon and Savov (2016) measure P I in the cross-section of stocks for each year, whereas our tests utilize a panel setting. In a recent work, Davila and Parlatore (2018) The dependent variables are price nonsynchronicity, the jump ratio, and the variance ratio. Price nonsynchronicity of Roll (1988) is calculated as 1−R 2 , where R 2 is the R-squared from a regression of individual stock returns on the market factor.…”
Section: Price Nonsynchronicity Jump Ratio and Variance Ratiomentioning
confidence: 99%
“…This increases their covariance and contributes to a higher P IN F . In our structure, growth prospects (or equivalently, the 7 This insight also appears in Davila and Parlatore (2016b).…”
mentioning
confidence: 72%
“…Absolute Price Informativeness Davila and Parlatore (2016a) propose an alternative measure of absolute price informativeness, which captures the ability of asset prices to aggregate dispersed information. Their measure is the precision of an unbiased signal of the current cashow innovation, constructed from prices.…”
Section: Relating Data To Other Information Measuresmentioning
confidence: 99%
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