SECURITY ANALYSIS AND TRADING PATTERNS WHEN SOME INVESTORS RECEIVE INFORMATION BEFORE OTHERS

被引:350
作者
HIRSHLEIFER, D
SUBRAHMANYAM, A
TITMAN, S
机构
[1] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027
[2] BOSTON COLL,CHESTNUT HILL,MA 02167
关键词
D O I
10.2307/2329267
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In existing models of information acquisition, all informed investors receive their information at the same time. This article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others. The model implies that, under some conditions, investors will focus only on a subset of securities (''herding''), while neglecting other securities with identical exogenous characteristics. In addition, the model is consistent with empirical correlations that are suggestive of oft-cited trading strategies such as profit taking (short-term position reversal) and following the leader (mimicking earlier trades).
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页码:1665 / 1698
页数:34
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