Price volatility and investor behavior in an overlapping generations model with information asymmetry

• 成果类型: Article
• 署名作者: Watanabe, Masahiro
• 署名单位: Rice University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01315.x
• 发表日期: 2008
• 页码: 229-272
• 关键词: rational-expectations equilibrium; stock-prices; trading volume; MARKET; strategies; Sentiment; announcements; aggregation; acquisition; securities

摘要

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.