Please use this identifier to cite or link to this item:
Scopus Web of ScienceĀ® Altmetric
Type: Journal article
Title: The Fisher information measure and testing for market expectations
Author: Tirtiroglu, E.
Tirtiroglu, D.
Citation: Studies in Economics and Finance, 2003; 21(2):65-82
Publisher: Emerald
Issue Date: 2003
ISSN: 1086-7376
Statement of
Ercan Tirtiroglu and Dogan Tirtiroglu
Abstract: In an efficient market, where the participants form their expectations rationally, all potential changes induced by a predictable event are incorporated into the asset prices before the uncertainty relating to the outcome of the event is resolved. This paper develops a methodology to test whether temporal prices of fixed income assets reflect market efficiency. The methodology developed employs the Fisher information measure, which is couched within the framework of a moving variance process. We empirically demonstrate the methodology for U.S. Treasury's first exercise, in three decades, of its option to call (on October 09, 1991) one of its outstanding callable bonds. Empirical results indicate a delayed market reaction.
DOI: 10.1108/eb028775
Published version:
Appears in Collections:Aurora harvest 5
Business School publications

Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.