INFORMATION, ASSET PRICES, AND THE VOLUME OF TRADE
成果类型：
Note
署名作者：
HUFFMAN, GW
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - Dallas
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.2307/2328954
发表日期：
1992
页码：
1575-1590
关键词：
摘要：
A dynamic equilibrium model is constructed in which agents with access to different information sets participate in the capital market. Agents must use the equilibrium price of capital to make optimal forecasts of the return to holding capital. Examples show that the volume of trade, as well as the price of capital, can be highly correlated with a measure of the information content of prices. This measure of information is the difference between the unconditional entropy of the dividend and the entropy of the dividend conditional on observing the price of capital.