Differential Information and Dynamic Behavior of Stock Trading Volume
58 Pages Posted: 7 Aug 2000 Last revised: 11 Sep 2022
There are 2 versions of this paper
Differential Information and Dynamic Behavior of Stock Trading Volume
NBER Working Paper No. w5010
Number of pages: 58
Posted: 07 Aug 2000
Last Revised: 11 Sep 2022
You are currently viewing this paper
Downloads
168
Differential Information and Dynamic Behavior of Stock Trading Volume
REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4
Posted: 13 Jul 1998
Date Written: February 1995
Abstract
This paper develops a multi-period 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.
Suggested Citation: Suggested Citation
He, Hua and Wang, Jiang, Differential Information and Dynamic Behavior of Stock Trading Volume (February 1995). NBER Working Paper No. w5010, Available at SSRN: https://ssrn.com/abstract=225789
Do you have negative results from your research you’d like to share?
Recommended Papers
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.