文档介绍：Trade and the Revelation of
Information through Prices
and Direct Disclosure
Bruce D. Grundy
Maureen McNichols
Stanford University
This article analyzes the volume of trade in a mul-
tiperiod noisy rational, expectations model. When
traders receive private signals at the first trading
date and are allowed a second round of trade, two
types of equilibria exist. In the first, traders do not
learn about the average private signalfrom the sec-
ond round of trade, and all trade takes place at the
first date. In the second traders do learn from the
second round, and trade thus takesplace at both the
first and second dates. The article characterizes vol-
ume when a public signal is disclosed at the second
date.
A large literature examines the trading behavior of pri-
vately informed These articles take the view
that differences in beliefs motivate trade and analyze
when trade will occur, typically in very general settings.
Our article extends this research by characterizing the
This research was supported by the Stanford Program in Finance and the Stan-
ford Business School Trust. The paper has benefited from ments of
seminar participants at CUNY-Baruch College, the University of Chicago,
Columbia University, Duke University, Northwestern University, Washington
University, the University of Pennsylvania-Wharton, the University of Southern
California, the University of Texas at Austin, the University of Washington, and
the 1989 Western Finance, American Accounting Association, and Australian
Banking and Finance Meetings. We especially thank Anat Admatl, Robert Bush-
man, Doug Diamond, Larry Glosten, David Hirshleifer, Raffi Indjejikian. Bob
Holthausen, Ananth Madhavan, Jim Ohlson, Paul Pfleiderer, Ken Singleton,
John Watts, and the editor. Michael Brennan. Any errors are the responsibility
of the authors. Address reprint requests to Bruce Grundy, Department of Finance,
Wharton School, University