Differential information and dynamic behavior of stock trading volume

被引：206
|
作者：
He, H
Wang, J
机构：
[1] MIT,SLOAN SCH MANAGEMENT,CAMBRIDGE,MA 02139
[2] UNIV CALIF BERKELEY,BERKELEY,CA 94720
来源：
REVIEW OF FINANCIAL STUDIES | 1995年 / 8卷 / 04期
关键词：
D O I：
10.1093/rfs/8.4.919
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article develops a multiperiod rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors' trading reveals their private information.
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页码：919 / 972
页数：54
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