Differential Information and Dynamic Behavior of Stock Trading Volume

Hua He and Jiang Wang

No 5010, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

Date: 1995-02
Note: AP
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Citations: View citations in EconPapers (201)

Published as Review of Financial Studies, Vol. 8, no. 4 (Winter 1995): 919-972.

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Related works:
Journal Article: Differential Information and Dynamic Behavior of Stock Trading Volume (1995)
Working Paper: Differential information and dynamic behavior of stock trading volume (1994)
Working Paper: Differential Information and Dynamic Behavior of Stock Trading Volume (1993)
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