Differential Information and Dynamic Behavior of Stock Trading Volume
REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4
Posted: 13 Jul 1998
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
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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.
JEL Classification: G19
Suggested Citation: Suggested Citation
He, Hua and Wang, Jiang, Differential Information and Dynamic Behavior of Stock Trading Volume. REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4, Available at SSRN: https://ssrn.com/abstract=7013
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