A comparative static analysis of a competitive equilibrium under heterogeneous earn-ings expectations and constant absolute risk aversions demonstrates that unsystem-atic trading volume in response to a public information release is proportional to the change in relative heterogeneity of beliefs and is unrelated to either the dispersion of prior beliefs or the absolute change in the consensus expectation. In contrast, under homogeneous expectations and non-constant absolute risk aversions, total trading volume is a function of the absolute change in the consensus earnings expectation. Using a large number of individual analysts’ annual earnings forecasts, the change in relative heterogeneity and the absolute change in the consensus expectation are measured around interim quarterly earnings reports and shown to possess predicted impacts on trading volume.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.