文档介绍：Differential Information and
Dynamic Behavior of Stock
Trading Volume
Hua He
University of California at Berkeley
Jiang Wang
Massachusetts Institute of Technology
This article develops a multiperiod rational ex-
pectations model of stock trading in which in-
vestors have differential information concern-
ing the underlying value of the stock. Investors
petitively in the stock market based on
their private information and the information
revealed by the market-clearing prices, as well
as other public news. We examine how trading
volume is related to the information flow in the
market and how investors’ trading reveals their
private information.
This article presents a multiperiod model of stock
trading under differential information. At each trading
date, investors receive both private and public infor-
mation concerning the underlying value of the stock.
Based on their information, investors pet-
itively in the market either to modate supply
shocks (noninformational trading) or to speculate on
The authors thank Franklin Allen, Bruce Grundy, Richard Kihlstrom, Pete
Kyle, Roni Michaely, Krishna Ramaswany, seminar participants at Columbia
University, Hong Kong University of Science and Technology, New York
University, Northwestern University, University of California at Berkeley,
University of Rochester, University of Utah, University of Wisconsin at
Madison, Yale University, Nazen Conference, The Conference on Recent
Developments in Asset Pricing and Optimal Trading Strategies at Rutgers
University for helpful discussions ments. Special thanks go to the
referee and the editor, Chester Spatt, for many helpful suggestions. The
support from the Batterymarch Fellowship Program (for Hua He), and from
the International Financial Services Research Center and the NTU Career
Development Assistant Professorship at MIT (for Jiang Wang ) is gratefully
acknowledged. Address reprint requests to Jiang Wang, Slo