Investor Agreement and the Volume Response to Information

Rauterkus Andreas ()
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Rauterkus Andreas: College of Business Administration, Department of Finance, California State University, San Marcos, USA

Baltic Journal of Real Estate Economics and Construction Management, 2024, vol. 12, issue 1, 119-137

Abstract: In this research, an empirical model, which proposes that informational events affect trading volume due to heterogeneous reactions and heterogeneous prior expectations, is tested. Belief dispersion both across and within two sub-groups that proxy for those who own and do not own a given security are measured. The impact of this dispersion on trading volume is also tested. The results suggest that both heterogeneous priors and heterogeneous reactions affect trading volume. However, it is found that any change (positive or negative) in dispersion across groups with heterogeneous prior expectations will result in an increase in trading volume.

Keywords: market efficiency; market liquidity; trading volume; information dissemination (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:bjrecm:v:12:y:2024:i:1:p:119-137:n:1008

DOI: 10.2478/bjreecm-2024-0008

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