Redundant Information And Predictable Stock Price Returns

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dc.contributor.advisorCatherine M. Schrand
dc.contributor.authorCarniol, Michael P.
dc.date2023-05-17T19:23:41.000
dc.date.accessioned2023-05-22T17:00:07Z
dc.date.available2001-01-01T00:00:00Z
dc.date.copyright2018-02-23T20:17:00-08:00
dc.date.issued2017-01-01
dc.date.submitted2018-02-23T12:42:06-08:00
dc.description.abstractHow well do investors distinguish information that already is priced from genuinely novel and ex- clusive private information? This paper examines whether investors misweight information that already is in stock prices (“redundant information”) in making their trading decisions, and whether this misweighting is associated with investors’ information processing frictions or behavioral biases. I extend the Kyle (1985) model to allow for non-Bayesian updating and transaction costs. The model predicts that price changes exhibit a state space process, in which the parameter for investors’ non- Bayesian weighting of redundant information is estimable distinctly from information asymmetry and transaction costs. Using this model, I estimate a firm-quarter measure of investors’ misweighting of redundant information. I find that, on average, investors behave as if the information content in the immediately prior price change is private information. This overweighting of redundant infor- mation appears higher when investors have less time to process information, stock prices are less informative, and industry-wide information is less costly to obtain. Overall, these results suggest one way that information processing frictions contribute to momentum and mean reversion in stock price returns.
dc.description.degreeDoctor of Philosophy (PhD)
dc.format.extent155 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://repository.upenn.edu/handle/20.500.14332/29096
dc.languageen
dc.legacy.articleid3988
dc.legacy.fulltexturlhttps://repository.upenn.edu/cgi/viewcontent.cgi?article=3988&context=edissertations&unstamped=1
dc.provenanceReceived from ProQuest
dc.rightsMichael P. Carniol
dc.source.issue2202
dc.source.journalPublicly Accessible Penn Dissertations
dc.source.statuspublished
dc.subject.otherBehavioral finance
dc.subject.otherInformation asymmetry
dc.subject.otherMarket efficiency
dc.subject.otherAccounting
dc.subject.otherEconomics
dc.subject.otherFinance and Financial Management
dc.titleRedundant Information And Predictable Stock Price Returns
dc.typeDissertation/Thesis
digcom.contributor.authorisAuthorOfPublication|email:mcarniol@gmail.com|institution:University of Pennsylvania|Carniol, Michael P.
digcom.date.embargo2001-01-01T00:00:00-08:00
digcom.identifieredissertations/2202
digcom.identifier.contextkey11636683
digcom.identifier.submissionpathedissertations/2202
digcom.typedissertation
dspace.entity.typePublication
relation.isAuthorOfPublication04c51c2b-c21e-45d5-b4f4-25d9d6972cdf
relation.isAuthorOfPublication.latestForDiscovery04c51c2b-c21e-45d5-b4f4-25d9d6972cdf
upenn.graduate.groupAccounting
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