Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/43052
Title: An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs
Authors: Brockman, P
Chung, DY
Keywords: Informed trading
Asymmetric information
Heterogeneous beliefs
Market microstructure
Issue Date: 2000
Publisher: North-Holland
Source: Journal of empirical finance, 2000, v. 7, no. 5, p. 417-454 How to cite?
Journal: Journal of empirical finance 
Abstract: The purpose of this study is to identify and analyze inter-temporal trading patterns attributable to informed trading. Recent theoretical models posit that heterogeneous prior beliefs provide a source of trading volume in addition to the commonly accepted trading motives of liquidity and asymmetric information. After separating informed from uninformed trading using the estimation procedure of Easley et al. [Journal of Finance 51 (1996) 1405], we test for the presence of trading on heterogeneous beliefs as opposed to asymmetric information. The empirical findings confirm the existence of trading on heterogeneous prior beliefs and generally support the inter-temporal patterns proposed by Wang [Journal of Financial Markets 1 (1998) 321].
URI: http://hdl.handle.net/10397/43052
ISSN: 0927-5398
DOI: 10.1016/S0927-5398(00)00020-7
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page view(s)

10
Last Week
1
Last month
Checked on Apr 23, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.