What Makes Uninformed Traders Tick?

42 Pages Posted: 8 Feb 2016 Last revised: 16 Apr 2020

See all articles by Barbara A. Bliss

Barbara A. Bliss

University of San Diego

Mitch Warachka

Chapman University

Marc Weidenmier

Claremont McKenna College - Robert Day School of Economics and Finance; National Bureau of Economic Research (NBER)

Date Written: April 15, 2020

Abstract

How does access to information affect price efficiency? We address this question by studying the stock ticker; a device that disseminated price changes to brokerage offices with a ticker subscription. We find that an increased number of ticker subscriptions in a state strengthened the return continuation and return co-movement of firms headquartered in the state. Therefore, the increased dissemination of price changes appears to have decreased price efficiency by increasing uninformed trend chasing. Our results challenge the assumption that greater access to information improves price efficiency.

Keywords: Price Dissemination, Trend Chasing, Return Co-Movement

JEL Classification: G14 N2

Suggested Citation

Bliss, Barbara A. and Warachka, Mitch and Weidenmier, Marc D., What Makes Uninformed Traders Tick? (April 15, 2020). Available at SSRN: https://ssrn.com/abstract=2728540 or http://dx.doi.org/10.2139/ssrn.2728540

Barbara A. Bliss

University of San Diego ( email )

5998 Alcala Park
San Diego, CA 92110-2492
United States

Mitch Warachka (Contact Author)

Chapman University ( email )

Orange, CA 92866
United States

Marc D. Weidenmier

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth St.
Claremont, CA 91711-6420
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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