Umfang:
1 Online-Ressource (48 p)
Inhalt:
This paper studies an overlapping-generations model with multiple securities and heterogeneously informed agents. The model produces multiple equilibria, including highly volatile equilibria that can exhibit strong or weak correlations between asset returns--even when asset supplies and future dividends are uncorrelated across assets. Less informed agents rationally behave like trend-followers, while better informed agents follow contrarian strategies. Trading volume has a hump-shaped relation with information precision and is positively correlated with absolute price changes. Accurate information increases the stock-return volatility and correlation in the highly volatile, strongly correlated equilibrium
Anmerkung:
In: Journal of Finance, Forthcoming
Sprache:
Unbestimmte Sprache
