메뉴 건너뛰기




Volumn 64, Issue 6, 2009, Pages 2783-2805

A rational expectations equilibrium with informative trading volume

Author keywords

[No Author keywords available]

Indexed keywords


EID: 72249095857     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2009.01517.x     Document Type: Article
Times cited : (44)

References (24)
  • 2
    • 84993865825 scopus 로고
    • Market statistics and technical analysis: The role of volume
    • Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market statistics and technical analysis: The role of volume, Journal of Finance 49, 153 181.
    • (1994) Journal of Finance , vol.49 , pp. 153-181
    • Blume, L.1    Easley, D.2    O'Hara, M.3
  • 4
    • 0142157065 scopus 로고    scopus 로고
    • Momentum and reversals in equity-index returns during periods of abnormal turnover and return dispersion
    • Conolly, Robert, and Chris Stivers, 2003, Momentum and reversals in equity-index returns during periods of abnormal turnover and return dispersion, Journal of Finance 58, 1521 1555.
    • (2003) Journal of Finance , vol.58 , pp. 1521-1555
    • Conolly, R.1    Stivers, C.2
  • 5
    • 84993917296 scopus 로고
    • Volume and autocovariances in short-horizon individual security returns
    • Conrad, Jennifer S., Allaudeen Hameed, and Cathy Niden, 1994, Volume and autocovariances in short-horizon individual security returns, Journal of Finance 49, 1305 1329.
    • (1994) Journal of Finance , vol.49 , pp. 1305-1329
    • Conrad, J.S.1    Hameed, A.2    Niden, C.3
  • 6
    • 84977716725 scopus 로고
    • Time and the process of security price adjustment
    • Easley, David, and Maureen O'Hara, 1992, Time and the process of security price adjustment, Journal of Finance 47, 577 605.
    • (1992) Journal of Finance , vol.47 , pp. 577-605
    • Easley, D.1    O'Hara, M.2
  • 9
    • 0040436655 scopus 로고    scopus 로고
    • The high-volume return premium
    • Gervais, Simon, Ron Kaniel, and Dan H. Mingelgrin, 2001, The high-volume return premium, Journal of Finance 56, 877 919. (Pubitemid 33581668)
    • (2001) Journal of Finance , vol.56 , Issue.3 , pp. 877-919
    • Gervais, S.1    Kaniel, R.2    Mingelgrin, D.H.3
  • 10
    • 84944832265 scopus 로고
    • On the efficiency of competitive stock markets when traders have diverse information
    • Grossman, Sanford J., 1976, On the efficiency of competitive stock markets when traders have diverse information, Journal of Finance 31, 573 585.
    • (1976) Journal of Finance , vol.31 , pp. 573-585
    • Grossman, S.J.1
  • 11
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, Milton, and Arthur Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473 506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 12
    • 21844507502 scopus 로고
    • Differential information and dynamic behaviour of stock trading volume
    • He, Hua, and Jiang Wang, 1995, Differential information and dynamic behaviour of stock trading volume, Review of Financial Studies 8, 919 972.
    • (1995) Review of Financial Studies , vol.8 , pp. 919-972
    • He, H.1    Wang, J.2
  • 13
    • 0000088496 scopus 로고
    • On the aggregation of information in competitive markets
    • Hellwig, Martin F., 1980, On the aggregation of information in competitive markets, Journal of Economic Theory 22, 477 498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.F.1
  • 14
    • 85141101504 scopus 로고
    • Differential interpretation of public signals and trade in speculative markets
    • Kandel, Eugene, and Neil Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, Journal of Political Economy 103, 831 872.
    • (1995) Journal of Political Economy , vol.103 , pp. 831-872
    • Kandel, E.1    Pearson, N.2
  • 15
    • 0000358003 scopus 로고
    • Trading volume and price reactions to public announcements
    • Kim, Oliver, and Robert Verrecchia, 1991, Trading volume and price reactions to public announcements, Journal of Accounting Research 29, 302 321.
    • (1991) Journal of Accounting Research , vol.29 , pp. 302-321
    • Kim, O.1    Verrecchia, R.2
  • 16
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 6, 1315 1336.
    • (1985) Econometrica , vol.6 , pp. 1315-1336
    • Kyle, A.S.1
  • 17
    • 0010734388 scopus 로고    scopus 로고
    • Price momentum and trading volume
    • Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017 2069.
    • (2000) Journal of Finance , vol.55 , pp. 2017-2069
    • Lee, C.M.C.1    Swaminathan, B.2
  • 19
    • 0034382837 scopus 로고    scopus 로고
    • Trading volume: Data analysis, and implications of portfolio theory
    • Lo, Andrew, and Jiang Wang, 2000, Trading volume: Data analysis, and implications of portfolio theory, Review of Financial Studies 13, 257 300.
    • (2000) Review of Financial Studies , vol.13 , pp. 257-300
    • Lo, A.1    Wang, J.2
  • 20
    • 33846222449 scopus 로고    scopus 로고
    • Trading volume: Implications of an intertemporal capital asset pricing model
    • Lo, Andrew, and Jiang Wang, 2006, Trading volume: Implications of an intertemporal capital asset pricing model, Journal of Finance 61, 2805 2840.
    • (2006) Journal of Finance , vol.61 , pp. 2805-2840
    • Lo, A.1    Wang, J.2
  • 22
    • 21144464942 scopus 로고
    • Volume, volatility, and the dispersion of beliefs
    • Shalen, Catherine, 1993, Volume, volatility, and the dispersion of beliefs, Review of Financial Studies 6, 405 434.
    • (1993) Review of Financial Studies , vol.6 , pp. 405-434
    • Shalen, C.1
  • 23
    • 84960614899 scopus 로고
    • A model of intertemporal asset prices under asymmetric information
    • Wang, Jiang, 1993, A model of intertemporal asset prices under asymmetric information, Review of Economic Studies 60, 249 282.
    • (1993) Review of Economic Studies , vol.60 , pp. 249-282
    • Wang, J.1
  • 24
    • 84937302781 scopus 로고
    • A model of competitive stock trading volume
    • Wang, Jiang, 1994, A model of competitive stock trading volume, Journal of Political Economy 102, 127 168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.