论文信息 - Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

No-arbitrage martingale analysis is used to study the effect of changes in the rate of information flow on asset prices. The analysis is first used to develop some simple tools for asset pricing in a continuous time setting. These tools are then applied to determine the effect of information on prices and price volatility, to extend Samuelson's theorem on prices fluctuating randomly, and to study the impact of the resolution of uncertainty on prices. The conditions under which uncertainty resolution is irrelevant for asset pricing are shown to be similar to those that support the Modigliani and Miller irrelevance theorems. Copyright 1989 by American Finance Association.

S. Ross

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