-  תקציר מפירסומי מרכז מחקר orif לשוק ההון  -

 The Speed of Stock Price Discovery

This paper develops closed-form expressions for the path and speed of stock price discovery in a simple asset allocation model. The representative investor is composed of two uniquely defined investors whose different risk-preferences always generate opposite portfolio rebalancing trades. The implied supply and demand schedules for shares determine the intra-period path and speed of price discovery in a tâtonnement setup. Convergence to equilibrium is exponential, and its speed depends on information content, risk-preferences, firm size, the market price for risk, and the price impact of excess demand. Convergence is not guaranteed, and the conditions for divergence are specified.