Format:
1 Online-Ressource (48 p)
Series Statement:
AFA 2003 Washington, DC Meetings
Content:
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. Finally, accurate information increases the volatility and correlation of stock returns in the highly volatile, strongly correlated equilibrium
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 31, 2007 erstellt
Language:
Undetermined
