Disagreement and Learning: Dynamic Patterns of Trade

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Kremer, Ilan
• 署名单位: Northwestern University; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01570.x
• 发表日期: 2010
• 页码: 1268-1302
• 关键词: EARNINGS ANNOUNCEMENTS; volume; INFORMATION; opinion; MARKETS; beliefs; divergence; asymmetry; BEHAVIOR; returns

摘要

The empirical evidence on investor disagreement and trading volume is difficult to reconcile in standard rational expectations models. We develop a dynamic model in which investors disagree about the interpretation of public information. We obtain a closed-form linear equilibrium that allows us to study which restrictions on the disagreement process yield empirically observed volume and return dynamics. We show that when investors have infrequent but major disagreements, there is positive autocorrelation in volume and positive correlation between volume and volatility. We also derive novel empirical predictions that relate the degree and frequency of disagreement to volume and volatility dynamics.