Informed Trading and Intertemporal Substitution

• 成果类型: Article
• 署名作者: Xiao, Yizhou
• 署名单位: Chinese University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12857
• 发表日期: 2020
• 页码: 1135-1156
• 关键词: social value; INFORMATION; prices

摘要

I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have heterogeneous time-inseparable preferences, information differentially affects relative preferences for current and future consumption, making information-based trading mutually acceptable. The no-trade result continues to hold if there is no aggregate shock, or if agents have either homogeneous or time-separable preferences.