Institutional Informed Trading and Stock Price Behavior

朱 榕屏(Lon-Ping Zu), 楊 智元(Chih-Yuan Yang)

研究成果: 雜誌貢獻文章

摘要

We assume that the aim of informed institutions is to maximize the joint profits of multiple investing sessions. The model shows that when the aggregate informed trades are relatively large, institutions would reach agreement in private, delaying the use of the information. Such delaying action is quite different from prior studies adopting rational expectations models, which mainly infer that institutions obtain and use information immediately, and the action can explain some market anomalies.
原文英語
頁(從 - 到)39-91
頁數53
期刊財務金融學刊
26
發行號2
DOIs
出版狀態已發佈 - 2018

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