Differential Information and Dynamic Behavior of Stock Trading Volume

Hua He, Jiang Wang

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

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Year of publication:	February 1995
Authors:	He, Hua
Other Persons:	Wang, Jiang (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Theorie \| Theory \| Börsenkurs \| Share price \| Rationale Erwartung \| Rational expectations

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w5010
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w5010 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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