Discussion Paper

No. 2009-51 | December 01, 2009
Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-based Models

Abstract

We explore how disclosure requirements that regulate the release of new information may affect the dynamics of financial markets. Our analysis is based on three agent-based financial market models that are able to produce realistic financial market dynamics. We discover that the average deviation between market prices and fundamental values increases if new information is released with a delay, while the average price volatility is virtually unaffected by such regulations. Interestingly, the tails of the distribution of returns become fatter if fundamental data is released less continuously, indicating an increase in financial market risk.


Paper submitted to the special issue
Managing Financial Instability in Capitalist Economies
 

JEL Classification

G14 G18

Cite As

Oliver Hermsen, Björn-Christopher Witte, and Frank Westerhoff (2009). Disclosure Requirements, the Release of New Information and Market Efficiency: New Insights from Agent-based Models. Economics Discussion Papers, No 2009-51, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2009-51

Assessment



Comments and Questions


Anonymous - Referee Report 1
January 05, 2010 - 14:59

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Anonymous - Referee Report 2
January 13, 2010 - 08:28

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Anonymous - Anonymous - Referee Report 3
January 26, 2010 - 13:44

see attached file