This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Security Analysis and Trading Patterns When Some Investors Receive Information before Others Author info | Abstract | Publisher info | Download info | Related research | Statistics Hirshleifer, David
Subrahmanyam, Avanidhar
Titman, Sheridan
Additional information is available for the following
registered author(s):
In existing models of information acquisition, all informed investors receive their information at the same time. This article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others. The model implies that, under some conditions, investors will focus only on a subset of securities ('herding'), while neglecting other securities with identical exogenous characteristics. In addition, the model is consistent with empirical correlations that are suggestive of oft-cited trading strategies such as profit taking (short-term position reversal) and following the leader (mimicking earlier trades). Copyright 1994 by American Finance Association.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by American Finance Association in its journal Journal of Finance .
Volume (Year): 49 (1994)
Issue (Month): 5 (December)
Pages: 1665-98
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:bla:jfinan:v:49:y:1994:i:5:p:1665-98Contact details of provider: Web page: http://www.afajof.org/ More information through EDIRC
Order Information: Web: http://www.afajof.org/membership/join.asp
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Alexander Gumbel, 1999.
"Trading on Short-Term Information ,"
OFRC Working Papers Series
1999fe10, Oxford Financial Research Centre.
[Downloadable!]
Amil Dasgupta & Andrea Prat & Michela Verardo, 2005.
"The Price of Conformism ,"
Levine's Bibliography
784828000000000357, UCLA Department of Economics.
[Downloadable!]
Terrance Odean, 1998.
"Volume, Volatility, Price and Profit When All Traders Are Above Average ,"
Finance
9803001, EconWPA.
[Downloadable!]
Craig Holden & Avanidhar Subrahmanyam, 1998.
"New Events, Information Acquisition, and Serial Correlation ,"
University of California at Los Angeles, Anderson Graduate School of Management
1115, Anderson Graduate School of Management, UCLA.
[Downloadable!]
David Goldbaum, 2003.
"Coordinated Investing with Feedback and Learning ,"
Computing in Economics and Finance 2003
213, Society for Computational Economics.
[Downloadable!]
Other versions:
David Goldbaum, 2004.
"Coordinated Investing with Feedback and Learning ,"
Working Papers Rutgers University, Newark
2004-008, Department of Economics, Rutgers University, Newark.
[Downloadable!] Goldbaum, David, 2008.
"Coordinated investing with feedback and learning ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 65(2), pages 202-223, February.
[Downloadable!] (restricted) Dennis P J Botman & Cees G H Diks, 2002.
"Location of Investors and Capital Flight ,"
Tinbergen Institute Discussion Papers
02-013/1, Tinbergen Institute.
[Downloadable!]
Other versions: Yi-Tsung Lee & Yu-Jane Liu & Richard Roll & Avanidhar Subrahmanyam, 2001.
"Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis ,"
University of California at Los Angeles, Anderson Graduate School of Management
1021, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Hirshleifer, David & Teoh, Siew Hong, 2008.
"Thought and Behavior Contagion in Capital Markets ,"
MPRA Paper
9164, University Library of Munich, Germany.
[Downloadable!]
Other versions: John C. Persons & Vincent A. Warther, .
"Boom and Bust Patterns in the Adoption of Financial Innovations ,"
Research in Financial Economics
9601, Ohio State University.
[Downloadable!]
Matthew Spiegel, 1996.
"Stock Price Volatility in a Multiple Security Overlapping Generations Model ,"
Finance
9608002, EconWPA.
[Downloadable!]
Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2005.
"The joint dynamics of liquidity, returns, and volatility across small and large firms ,"
Staff Reports
207, Federal Reserve Bank of New York.
[Downloadable!]
Beckmann, Daniela & Menkhoff, Lukas & Suto, Megumi, 2007.
"Does Culture Influence Asset Managers? Views and Behavior? ,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-367, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
[Downloadable!]
Other versions: Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2001.
"Evidence on the Speed of Convergence to Market Efficiency ,"
University of California at Los Angeles, Anderson Graduate School of Management
1012, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Ryuichi Nakagawa & Hirofumi Uchida, 2004.
"Herd Behavior in the Japanese Loan Market: Evidence from Bank Panel Data ,"
Econometric Society 2004 Australasian Meetings
161, Econometric Society.
[Downloadable!]
Other versions:
Ryuichi Nakagawa & Hirofumi Uchida, 2004.
"Herd Behavior In The Japanese Loan Market: Evidence From Bank Panel Data ,"
Econometric Society 2004 Far Eastern Meetings
737, Econometric Society.
[Downloadable!] Uchida, Hirofumi & Nakagawa, Ryuichi, 2007.
"Herd behavior in the Japanese loan market: Evidence from bank panel data ,"
Journal of Financial Intermediation ,
Elsevier, vol. 16(4), pages 555-583, October.
[Downloadable!] (restricted) Lillyn L. Teh & Werner F.M. de Bondt, 1997.
"Herding Behavior and Stock Returns: An Exploratory Investigation ,"
Swiss Journal of Economics and Statistics (SJES) ,
Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 293-324, June.
[Downloadable!]
Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005.
"Investor Psychology and Tests of Factor Pricing Models ,"
Working Paper Series
2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Dennis P. J. Botman & Cees G. H. Diks, 2005.
"The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks ,"
IMF Working Papers
05/205, International Monetary Fund.
[Downloadable!]
Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2004.
"Feedback and the Success of Irrational Investors ,"
Working Paper Series
2004-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Other versions: Bruce Tuckman & Jean-Luc Vila, 1993.
"Holding Costs and Equilibrium Arbitrage ,"
University of California at Los Angeles, Anderson Graduate School of Management
1153, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Adam Clements & Michael E. Drew, 2007.
"Institutional Homogeneity and Choice in Superannuation ,"
School of Economics and Finance Discussion Papers and Working Papers Series
218, School of Economics and Finance, Queensland University of Technology.
[Downloadable!]
William N. Goetzmann & Massimo Massa, 2000.
"Daily Momentum and Contrarian Behavior of Index Fund Investors ,"
NBER Working Papers
7567, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Terrance Odean., 1996.
"Volume, Volatility, Price and Profit When All Trader Are Above Average ,"
Research Program in Finance Working Papers
RPF-266, University of California at Berkeley.
[Downloadable!]
Access and
download statistics Did you know? Authors can create their own profile with links to their works on the RePEc Author Service .
This page was last updated on 2008-11-26.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .