Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299241 
Year of Publication: 
2024
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 19/2024
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of big data and advances in the way of processing it, exacerbates, rather than ameliorates, the negative impact of noise trading on price efficiency.
Subjects: 
social sentiment investing
price efficiency
noise trading
information aggregation
JEL: 
G12
G14
ISBN: 
978-3-95729-994-9
Document Type: 
Working Paper

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