← Search

Differential Information and Dynamic Behavior of Stock Trading Volume

Hua He¹; Jiang Wang²

¹ University of California, Berkeley · ² Massachusetts Institute of Technology

This article develops a multiperiod 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.

DOI

10.1093/rfs/8.4.919

Volume

8 (4)

Pages

919-972

Language

en

Export

BibTeX

Sources

openalex crossref