Abstract

http://ssrn.com/abstract=1287764
 
 

Citations



 


 



Security Analysis and Trading Patterns When Some Investors Receive Information Before Others


Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area; Centre for International Finance and Regulation (CIFR)

Sheridan Titman


University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

David A. Hirshleifer


University of California, Irvine - Paul Merage School of Business


Journal of Finance, Vol. 49, No. 5, pp. 1665-1698, December 1994

Abstract:     
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).

Accepted Paper Series


Not Available For Download

Date posted: December 1, 2008  

Suggested Citation

Subrahmanyam, Avanidhar and Titman, Sheridan and Hirshleifer, David A., Security Analysis and Trading Patterns When Some Investors Receive Information Before Others. Journal of Finance, Vol. 49, No. 5, pp. 1665-1698, December 1994. Available at SSRN: http://ssrn.com/abstract=1287764

Contact Information

Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Centre for International Finance and Regulation (CIFR) ( email )
Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Sheridan Titman
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
David A. Hirshleifer (Contact Author)
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
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