Feedback Trading between Fundamental and Nonfundamental Information

• 成果类型: Article
• 署名作者: Ming Guo; Hui Ou-Yang
• 署名单位: Shanghai Jiao Tong University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu057
• 发表日期: 2015
• 页码: 247
• 关键词: imperfect competition; risk-aversion; stock-prices; MARKET; complementarities; overreaction; equilibrium; volatility; EFFICIENCY; Dividends

摘要

We develop a strategic trading model in which an insider exploits noise traders' overreaction. A feedback effect arises from the insider's trading on fundamental information (the expected growth rate of dividends) and nonfundamental information (insider's inventory or noise supply). We find that the stock price is not fully revealing; a faster mean-reverting noise supply leads to a more volatile price; the price impact can increase with insider's risk-aversion; and a risk-averse insider can trade more aggressively on fundamental information than a risk-neutral one does. Insider's current trade and his previous inventory exhibit simultaneously positive forecasting powers for future stock returns.