Price-Signal Relations in the Presence of Correlated Public and Private Information
研究公共信号与私人信号误差相关时，更有利的信号如何导致更低证券价格，揭示信号相关性对价格信号关系的反向影响。
This study investigates how the relation between public and private information signals affects the relation between a given information signal (either public or private) and security prices. I examine an exchange economy in which agents receive both a public signal and private signals about the future value of a risky asset. When the errors on the public and private signals are independent, I demonstrate that a more favorable information signal leads to higher expectations about the value of the asset and, consequently, a higher security price. It is more likely, however, that the errors on public and private signals are not independent. Positive correlation arises, for example, if both sets of signals are based on a common information source.' I show that for sufficiently correlated errors on the signals, a more favorable information signal can lead to a lower security price. This inverse price-signal relation occurs because correlated signals provide both direct and indirect information about the future value of the asset. Directly, a higher signal value implies