| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8455 |
| DP8455 The more we know on the fundamental, the less we agree on the price | |
| Péter Kondor | |
| 发表日期 | 2011-06-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | I allow heterogenity in trading horizons across groups in a standard differential information model of a financial market. This can explain the empirical facts that after public announcements trading volume increases, more private information is incorporated into prices and volatility increases. Public information, in such environments, has the important secondary role of helping agents to learn about the information of other agents. As a consequence, whenever the correlation between private information across groups is sufficiently low, a public announcement increases disagreement among short horizon traders on the expected selling price, even if it decreases disagreement about the fundamental value of the asset. Additional testable implications are also suggested. |
| 主题 | Financial Economics |
| 关键词 | Higher-order expectations Public announcement Trading volume |
| URL | https://cepr.org/publications/dp8455 |
| 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/537283 |
| 推荐引用方式 GB/T 7714 | Péter Kondor. DP8455 The more we know on the fundamental, the less we agree on the price. 2011. |
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