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| Author: | Wang, F. A. |
| Title: | Strategic trading, asymmetric information and heterogeneous prior beliefs. |
| Journal: | Journal of Financial Markets
1998 : OCT, VOL. 1:3-4, p. 321-352 |
| Index terms: | Trading volumes Market information Asymmetric information |
| Language: | eng |
| Abstract: | The author develops a multi-period trading model in which traders face both asymmetric information and heterogeneus prior beliefs. Heterogeneity arises because traders agree to disagree on the precision of an informed trader's private signal. The model's volume dynamics are consistent with the U-shaped intraday pattern at the close. Furthermore, the model predicts a positive autocorrelation in trading volume, and a positive correlation between trading volume and contemporaneous prive volatility. |
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