| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8303 |
| DP8303 Expectations, Liquidity, and Short-term Trading | |
| Xavier Vives; Giovanni Cespa | |
| 发表日期 | 2011-03-21 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | In a market with short term agents and heterogeneous information, when liquidity trading displays persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors exploit a private learning channel to infer the demand of liquidity traders from the order flow to anticipate the evolution of the future aggregate demand for the stock. This yields multiple equilibria which can be ranked in terms of liquidity and informational effciency. Our results have implications for the impact of High Frequency Trading (HFT) on market quality and for the role of average expectations inasset pricing. We show that with persistence HFT can enhance informational efficiency and liquidity -- though creating an unstable equilibrium. In the equilibrium with high (low) informational effciency, prices are closer to (farther away from) fundamentals compared to consensus estimates. |
| 主题 | Financial Economics |
| 关键词 | Average expectations Beauty contest Expected returns Multiple equilibria Over-reliance on public information High frequency trading Momentum and reversal Price crash |
| URL | https://cepr.org/publications/dp8303 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537140 |
| 推荐引用方式 GB/T 7714 | Xavier Vives,Giovanni Cespa. DP8303 Expectations, Liquidity, and Short-term Trading. 2011. |
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