G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8455
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
URLhttps://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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