DIFFERENCES OF OPINION MAKE A HORSE RACE

被引：730

作者：

HARRIS, M ^{[1
]}

RAVIV, A ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,EVANSTON,IL 60201

来源：

REVIEW OF FINANCIAL STUDIES | 1993年 / 6卷 / 03期

关键词：

D O I：

10.1093/rfs/6.3.473

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A model of trading in speculative markets is developed based on differences of opinion among traders. Our purpose is to explain some of the empirical regularities that have been documented concerning the relationship between volume and price and the time-series properties of price and volume. We assume that traders share common prior beliefs and receive common information but differ in the way in which they interpret this information. Some results are that absolute price changes and volume are positively correlated, consecutive-price changes exhibit negative serial correlation, and volume is positively autocorrelated.

引用

页码：473 / 506

页数：34

共 44 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].