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Price Dynamics and Investor Mobility

Author

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  • Lee, Woongki

    (Yonsei University)

Abstract

This study develops an equilibrium framework for asset price dynamics under heterogeneous investor beliefs. It shows that price changes admit three equivalent representations, each linked to a distinct channel: group dominance, order imbalance, and participation tilt. As an application of the third representation, the study introduces investor mobility as a measure of how actively investors shift their participation across belief groups over time. Higher mobility indicates greater changes in investor composition and, for a given level of forecast dispersion, larger price movements. The study implements this concept empirically by constructing and analyzing a market-wide series of investor mobility.

Suggested Citation

  • Lee, Woongki, 2026. "Price Dynamics and Investor Mobility," SocArXiv vpxqk_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:vpxqk_v1
    DOI: 10.31235/osf.io/vpxqk_v1
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    References listed on IDEAS

    as
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    4. Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 5(2), pages 219-239, November.
    5. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
    6. George M. Constantinides, 2005. "Capital Market Equilibrium with Transaction Costs," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 7, pages 207-227, World Scientific Publishing Co. Pte. Ltd..
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