Trading Volume and Changes in Heterogeneous Expectations
AbstractA 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 InfoTo 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.
Bibliographic InfoPaper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 6-89.
Date of creation:
Date of revision:
Contact details of provider:
Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367
Phone: (215) 898-7616
Fax: (215) 573-8084
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC
Other versions of this item:
- Larry H.P. Lang & Robert H. Litzenberger, . "Trading Volume and Changes in Heterogeneous Expectations," Rodney L. White Center for Financial Research Working Papers 06-89, Wharton School Rodney L. White Center for Financial Research.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
- Li, Dan & Li, Geng, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.