EconPapers    
Economics at your fingertips  
 

Differential Interpretation of Public Signals and Trade in Speculative Markets

Eugene Kandel () and Neil Pearson ()

Journal of Political Economy, 1995, vol. 103, issue 4, 831-72

Abstract: Most models of trade in speculative markets assume that agents interpret public information identically. The authors provide empirical evidence on the relation between the volume of trade and stock returns around public announcements, and they argue that the evidence is inconsistent with this assumption. They then develop a model of trade around public announcements that incorporates differential interpretations and is consistent with the observed volume-return relation. Then the authors test the standard model of belief revision underlying most models of trade using stock brokerage research analysts' earnings forecasts. The hypothesis of identical interpretations seems inconsistent with the forecast revisions in these data. Copyright 1995 by University of Chicago Press.

Date: 1995
References: View complete reference list from CitEc
Citations: View citations in EconPapers (319) Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1086/262005 full text (application/pdf)
Access to full text is restricted to subscribers. See http://www.journals.uchicago.edu/JPE for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jpolec:v:103:y:1995:i:4:p:831-72

Access Statistics for this article

More articles in Journal of Political Economy from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().

 
Page updated 2021-04-12
Handle: RePEc:ucp:jpolec:v:103:y:1995:i:4:p:831-72