The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market
从理论角度分析信息发布的顺序如何影响价格反应幅度，模型考虑两个风险资产的分红信息序列发布，市场拥有先验信息，适合研究信息效率的学者。
This paper considers several determinants of the magnitude of price reactions to information releases from a theoretical perspective, and indicates how those factors affect the magnitude of price responses to new information. We model the change in price to a sequence of public information releases about the liquidating dividends of two risky assets. The market possesses prior information about the mean and variance of the liquidating dividends of the two assets, as well as their cross-sectional correlation. There are two information releases about each of the risky assets and each information release is received simultaneously by all