{"id":7309,"date":"2018-10-24T09:16:44","date_gmt":"2018-10-24T07:16:44","guid":{"rendered":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/"},"modified":"2018-10-24T09:16:44","modified_gmt":"2018-10-24T07:16:44","slug":"identifying-price-infomativeness","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/","title":{"rendered":"Identifying Price Infomativeness"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>Abstract<\/p><p>We show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow us<\/p><p>to recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how to<\/p><p>recover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors<\/p><p>(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,<\/p><p>and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, finding<\/p><p>stock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of price<\/p><p>informativeness, measured in the form of the Kalman gain used by an external observer that conditions its posterior<\/p><p>belief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that price<\/p><p>informativeness is higher for stocks with higher market capitalization and higher trading volume.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"<p>AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.<\/p>\n","protected":false},"author":0,"featured_media":7310,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2018-10-30 12:30:00","event_end_date":"2018-10-30 13:45:00","event_speaker_name":"Cecilia Parlatore - New York University ","event_speaker_link":"","event_is_online":false,"event_location":"Luxembourg School of Finance\r\nJFK Building \r\n29,Avenue J.F Kennedy\r\nL-1855 Luxembourg\r\nGround Floor, Nancy Room","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[309],"events-type":[],"organisation":[116,101,226],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Identifying Price Infomativeness - Universit\u00e9 du Luxembourg<\/title>\n<meta name=\"description\" content=\"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Identifying Price Infomativeness\" \/>\n<meta property=\"og:description\" content=\"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/\" \/>\n<meta property=\"og:site_name\" content=\"UNI FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/\",\"url\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/\",\"name\":\"Identifying Price Infomativeness - Universit\u00e9 du Luxembourg\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg\",\"datePublished\":\"2018-10-24T07:16:44+00:00\",\"dateModified\":\"2018-10-24T07:16:44+00:00\",\"description\":\"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.\",\"breadcrumb\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#breadcrumb\"},\"inLanguage\":\"fr-FR\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/\"]}]},{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg\",\"width\":800,\"height\":600},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.uni.lu\/fr\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Events\",\"item\":\"https:\/\/www.uni.lu\/fr\/events\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Identifying Price Infomativeness\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#website\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"name\":\"Uni.lu\",\"description\":\"Universit\u00e9 du Luxembourg\",\"publisher\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\"},\"alternateName\":\"Universit\u00e9 du Luxembourg\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.uni.lu\/fr\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"fr-FR\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#organization\",\"name\":\"Universit\u00e9 du Luxembourg\",\"alternateName\":\"Uni.lu\",\"url\":\"https:\/\/www.uni.lu\/fr\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"fr-FR\",\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"contentUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg\",\"width\":2560,\"height\":2560,\"caption\":\"Universit\u00e9 du Luxembourg\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/www.facebook.com\/uni.lu\",\"https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/\",\"https:\/\/www.instagram.com\/uni.lu\",\"https:\/\/www.youtube.com\/@uni_lu\",\"https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg\"]}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"Identifying Price Infomativeness - Universit\u00e9 du Luxembourg","description":"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/","og_locale":"fr_FR","og_type":"article","og_title":"Identifying Price Infomativeness","og_description":"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.","og_url":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/","og_site_name":"UNI FR","article_publisher":"https:\/\/www.facebook.com\/uni.lu","og_image":[{"width":2560,"height":2560,"url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","type":"image\/jpeg"}],"twitter_card":"summary_large_image","twitter_misc":{"Dur\u00e9e de lecture estim\u00e9e":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/","url":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/","name":"Identifying Price Infomativeness - Universit\u00e9 du Luxembourg","isPartOf":{"@id":"https:\/\/www.uni.lu\/fr\/#website"},"primaryImageOfPage":{"@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage"},"thumbnailUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg","datePublished":"2018-10-24T07:16:44+00:00","dateModified":"2018-10-24T07:16:44+00:00","description":"AbstractWe show that outcomes (parameter estimates and R-squareds) of regressions of prices on fundamentals allow usto recover exact measures of the ability of asset prices to aggregate dispersed information. Formally, we show how torecover absolute and relative price informativeness in dynamic environments with rich heterogeneity across investors(regarding signals, private trading needs, or preferences), minimal distributional assumptions, multiple risky assets,and allowing for stationary and non-stationary asset payoffs. We implement our methodology empirically, findingstock-specific measures of price informativeness for U.S. stocks. We find a right-skewed distribution of priceinformativeness, measured in the form of the Kalman gain used by an external observer that conditions its posteriorbelief on the asset price. The recovered mean and median are 0.05 and 0.02 respectively. We find that priceinformativeness is higher for stocks with higher market capitalization and higher trading volume.","breadcrumb":{"@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#breadcrumb"},"inLanguage":"fr-FR","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/"]}]},{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#primaryimage","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2018\/10\/identifying_price_infomativeness.jpg","width":800,"height":600},{"@type":"BreadcrumbList","@id":"https:\/\/www.uni.lu\/fr\/events\/identifying-price-infomativeness\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.uni.lu\/fr\/"},{"@type":"ListItem","position":2,"name":"Events","item":"https:\/\/www.uni.lu\/fr\/events\/"},{"@type":"ListItem","position":3,"name":"Identifying Price Infomativeness"}]},{"@type":"WebSite","@id":"https:\/\/www.uni.lu\/fr\/#website","url":"https:\/\/www.uni.lu\/fr\/","name":"Uni.lu","description":"Universit\u00e9 du Luxembourg","publisher":{"@id":"https:\/\/www.uni.lu\/fr\/#organization"},"alternateName":"Universit\u00e9 du Luxembourg","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.uni.lu\/fr\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"fr-FR"},{"@type":"Organization","@id":"https:\/\/www.uni.lu\/fr\/#organization","name":"Universit\u00e9 du Luxembourg","alternateName":"Uni.lu","url":"https:\/\/www.uni.lu\/fr\/","logo":{"@type":"ImageObject","inLanguage":"fr-FR","@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/","url":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","contentUrl":"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/11\/2026\/03\/03120045\/UNIV_SM-Profile_1600x1600px-scaled.jpg","width":2560,"height":2560,"caption":"Universit\u00e9 du Luxembourg"},"image":{"@id":"https:\/\/www.uni.lu\/fr\/#\/schema\/logo\/image\/"},"sameAs":["https:\/\/www.facebook.com\/uni.lu","https:\/\/www.linkedin.com\/school\/university-of-luxembourg\/","https:\/\/www.instagram.com\/uni.lu","https:\/\/www.youtube.com\/@uni_lu","https:\/\/en.wikipedia.org\/wiki\/University_of_Luxembourg"]}]}},"_links":{"self":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/7309"}],"collection":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events"}],"about":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/types\/events"}],"replies":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/comments?post=7309"}],"version-history":[{"count":0,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events\/7309\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media\/7310"}],"wp:attachment":[{"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/media?parent=7309"}],"wp:term":[{"taxonomy":"events-topic","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-topic?post=7309"},{"taxonomy":"events-type","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/events-type?post=7309"},{"taxonomy":"organisation","embeddable":true,"href":"https:\/\/www.uni.lu\/fr\/wp-json\/wp\/v2\/organisation?post=7309"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}