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Bayesian Pricing of News

Dmitry Livdan

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=H5wBzwEACAAJ&hl=&source=gbs_api

註釋

This paper characterizes the equilibrium stock price reaction to arbitrarily distributed signals. This stock price reaction is shown to be proportional to the Fisher score of the news calculated under the risk-neutral probability measure. The expression for the Fisher score takes a particularly compact form for news whose distribution is obtained by conditioning a latent multivariate normal signal, a situation which often arises in partial-pooling equilibria. As an application of our analysis, we (i) characterize the stock price reaction to news whose arrival is content-dependent, and (ii) construct an equilibrium in a voluntary disclosure model with multidimensional information and risk averse investors.