Informed Trading and Intertemporal Substitution
Author
Abstract
Suggested Citation
DOI: 10.1111/jofi.12857
Download full text from publisher
References listed on IDEAS
- Halevy, Yoram, 2004. "The possibility of speculative trade between dynamically consistent agents," Games and Economic Behavior, Elsevier, vol. 46(1), pages 189-198, January.
- Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-1181, September.
- Piero Gottardi & Rohit Rahi, 2013.
"Risk sharing and retrading in incomplete markets,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(2), pages 287-304, October.
- Piero Gottardi & Rohit Rahi, 2012. "Risk-Sharing and Retrading in Incomplete Markets," Economics Working Papers ECO2012/03, European University Institute.
- Hakansson, Nils H & Kunkel, J Gregory & Ohlson, James A, 1982.
"Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange,"
Journal of Finance, American Finance Association, vol. 37(5), pages 1169-1181, December.
- Nils H. Hakansson & J. Gregory Kunkel & James A. Ohlson., 1981. "Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange," Research Program in Finance Working Papers 122, University of California at Berkeley.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Kreps, David M., 1977. "A note on "fulfilled expectations" equilibria," Journal of Economic Theory, Elsevier, vol. 14(1), pages 32-43, February.
- Ng, David S., 1975. "Information accuracy and social welfare under homogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 2(1), pages 53-70, March.
- Morris, Stephen, 1994. "Trade with Heterogeneous Prior Beliefs and Asymmetric Information," Econometrica, Econometric Society, vol. 62(6), pages 1327-1347, November.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-574, September.
- Jaffe, Jeffrey F, 1975. "On the Use of Public Information in Financial Markets," Journal of Finance, American Finance Association, vol. 30(3), pages 831-839, June.
- Kunkel, J Gregory, 1982. "Sufficient Conditions for Public Information to Have Social Value in a Production and Exchange Economy," Journal of Finance, American Finance Association, vol. 37(4), pages 1005-1013, September.
- J. Michael Harrison & David M. Kreps, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 92(2), pages 323-336.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Verrecchia, Robert E., 2001. "Essays on disclosure," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 97-180, December.
- Philip Bond & Hulya Eraslan, 2007. "Information-based trade," Levine's Bibliography 122247000000001689, UCLA Department of Economics.
- Bond, Philip & Eraslan, Hülya, 2010.
"Information-based trade,"
Journal of Economic Theory, Elsevier, vol. 145(5), pages 1675-1703, September.
- Hulya Eraslan & Philip Bond, 2008. "Information Based Trade," 2008 Meeting Papers 1012, Society for Economic Dynamics.
- Felipe Zurita, 2004. "Essays on Speculation," Levine's Working Paper Archive 618897000000000849, David K. Levine.
- Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
- Gao, Pingyang, 2008. "Disclosure Quality, Cost of Capital, and Investors’ Welfare," MPRA Paper 9478, University Library of Munich, Germany, revised Jun 2008.
- Juan Hatchondo, 2004.
"The value of information with heterogeneous agents and partially revealing prices,"
Econometric Society 2004 North American Summer Meetings
175, Econometric Society.
- Juan Carlos Hatchondo, 2005. "The value of information with heterogeneous agents and partially revealing prices," Working Paper 05-06, Federal Reserve Bank of Richmond.
- Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
- Dye, Ronald A., 2001. "An evaluation of "essays on disclosure" and the disclosure literature in accounting," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 181-235, December.
- Goldstein, Itay & Yang, Liyan, 2019.
"Good disclosure, bad disclosure,"
Journal of Financial Economics, Elsevier, vol. 131(1), pages 118-138.
- Liyan Yang & Itay Goldstein, 2014. "Good Disclosure, Bad Disclosure," 2014 Meeting Papers 42, Society for Economic Dynamics.
- Piero Gottardi & Rohit Rahi, 2014.
"Value Of Information In Competitive Economies With Incomplete Markets,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(1), pages 57-81, February.
- Rohit Rahi & Piero Gottardi, 2007. "Value of Information in Competitive Economies with Incomplete Markets," FMG Discussion Papers dp596, Financial Markets Group.
- Gottardi, Piero & Rahi, Rohit, 2010. "Value of information in competitive economies with incomplete markets," LSE Research Online Documents on Economics 119083, London School of Economics and Political Science, LSE Library.
- Piero Gottardi & Rohit Rahi, 2010. "Value of Information in Competitive Economies with Incomplete Markets," FMG Discussion Papers dp658, Financial Markets Group.
- Gottardi, Piero & Rahi, Rohit, 2007. "Value of information in competitive economies with incomplete markets," LSE Research Online Documents on Economics 4749, London School of Economics and Political Science, LSE Library.
- Piero Gottardi & Rohit Rahi, 2007. "Value of Information in Competitive Economies with Incomplete Markets," Working Papers 2007_25, Department of Economics, University of Venice "Ca' Foscari".
- Piero Gottardi & Rohit Rahi, 2010. "Value of Information in Competitive Economies with Incomplete Markets," Economics Working Papers ECO2010/34, European University Institute.
- Jank, Stephan & Roling, Christoph & Smajlbegovic, Esad, 2021.
"Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices,"
Journal of Financial Economics, Elsevier, vol. 139(1), pages 209-233.
- Jank, Stephan & Roling, Christoph & Smajlbegovic, Esad, 2016. "Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices," Discussion Papers 25/2016, Deutsche Bundesbank.
- Lundtofte, Frederik & Leoni, Patrick, 2014.
"Growth forecasts, belief manipulation and capital markets,"
European Economic Review, Elsevier, vol. 70(C), pages 108-125.
- Lundtofte, Frederik & Leoni, Patrick, 2010. "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers 2010:8, Lund University, Department of Economics, revised 30 May 2012.
- Lundtofte, Frederik & Leoni, Patrick, 2013. "Growth Forecasts, Belief Manipulation and Capital Markets," Knut Wicksell Working Paper Series 2013/15, Lund University, Knut Wicksell Centre for Financial Studies.
- Karthik Balakrishnan & Mary Brooke Billings & Bryan Kelly & Alexander Ljungqvist, 2014.
"Shaping Liquidity: On the Causal Effects of Voluntary Disclosure,"
Journal of Finance, American Finance Association, vol. 69(5), pages 2237-2278, October.
- Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers 18984, National Bureau of Economic Research, Inc.
- Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
- Felipe Zurita, 2001. "Speculation in Financial Markets: A Survey," Documentos de Trabajo 197, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Eduardo Dávila & Cecilia Parlatore, 2021.
"Trading Costs and Informational Efficiency,"
Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
- Cecilia Parlatore & Eduardo Davila, 2016. "Trading Costs and Informational Efficiency," 2016 Meeting Papers 494, Society for Economic Dynamics.
- Eduardo Dávila & Cecilia Parlatore, 2019. "Trading Costs and Informational Efficiency," NBER Working Papers 25662, National Bureau of Economic Research, Inc.
- Ruiz-Buforn, Alba & Camacho-Cuena, Eva & Morone, Andrea & Alfarano, Simone, 2021.
"Overweighting of public information in financial markets: A lesson from the lab,"
Journal of Banking & Finance, Elsevier, vol. 133(C).
- Ruiz-Buforn, Alba & Camacho-Cuena, Eva & Morone, Andrea & Alfarano, Simone, 2020. "Overweighting of public information in financial markets: A lesson from the lab," MPRA Paper 98472, University Library of Munich, Germany.
- Orosel, Gerhard O., 1996. "Informational efficiency and welfare in the stock market," European Economic Review, Elsevier, vol. 40(7), pages 1379-1411, August.
- Allen, Franklin & Vayanos, Dimitri & Vives, Xavier, 2014. "Introduction to financial economics," Journal of Economic Theory, Elsevier, vol. 149(C), pages 1-14.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:75:y:2020:i:2:p:1135-1156. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.