On the theory of market information efficiency |
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Authors: | Robert E Verrecchia |
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Institution: | University of Illinois at Urbana-Champaign, Urbana, IL 61801, USA |
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Abstract: | This paper discusses the concept of market information efficiency and demonstrates the following: As the number of traders who participate in the market becomes large, the variations in the price of a security caused by the variations in traders' beliefs make the market price vary as if traders all knew the ‘true’ distribution of returns on the security. The empirical implications of the analysis are also explored. |
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