Informed Trading When Information Becomes Stale  

Oleh:

Bernhardt, Dan ; Miao, Jianju

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 1 (Feb. 2004), page 339-390.
Topik: trading; reliability; stock prices; speculation; studies; mathematical models
Fulltext: p 339.pdf (339.97KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

This paper characterizes informed trade when speculators can acquire distinct signals of varying quality about an asset's value at different dates. The most reasonable characterization of private information about stocks is that while information is long - lived, new information will arrive over time, information that may be acquired by other agents. Hence, while a speculator may know more than others at a moment, in the future, his information will become stale, but not valueless. In an environment that allows for arbitrary correlations among signals, we characterize equilibrium outcomes including trading, prices, and profits. We provide explicit numerical characterizations for different informational environments.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali