Post on 02-Jun-2018
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Favorable Private Signal
Unfavorable Private Signal
Full Information Value
Full Information Value
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Favorable Private Signal
Unfavorable Private Signal
Price
Time
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w/ Attribution Bias
w/o Attribution Bias
0 20 40 60 80 100 1200
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
period
Avg.
Price
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0 20 40 60 80 100 1200
10
20
30
40
50
60
70
period
Av.
Precision
Average Estimated Precision Following Private Information Shock
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10 20 30 40 50 60 70 80 90 100 110
0.02
0
0.02
0.04
0.06
0.08
0.1
lag
Autocorrelation
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0 10 20 30 40 50 60 70 80 90 1001
0.8
0.6
0.4
0.2
0
0.2
0.4
horizon
correlation
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20 40 60 80 100 1203
2
1
0
1
2
3
4
5
6
7
x 103
lag
Crosscorrelation
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