Theoretical models of trade (Dontoh and Ronen, 1993; Holthausen and Verrecchia, 1990; Karpoff, 1986; Kim and Verrecchia, 1997; and Varian, 1989) show that information-based trading is a consequence of four fundamental determinants: heterogeneous prior beliefs, differential interpretations, the consensus effect,...

Models of financial economists including Karpoff (1986), Varian (1989), Holthausen and Verrecchia (1990), and Dontoh and Ronen (1993) have demonstrated that there are three distinct fundamental determinants of trading volume reaction to new information releases: first, the extent of differences...