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Investor Agreement and the Volume Response to Information

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  • Rauterkus Andreas

    (College of Business Administration, Department of Finance, California State University, San Marcos, USA)

Abstract

In this research, an empirical model, which proposes that informational events affect trading volume due to heterogeneous reactions and heterogeneous prior expectations, is tested. Belief dispersion both across and within two sub-groups that proxy for those who own and do not own a given security are measured. The impact of this dispersion on trading volume is also tested. The results suggest that both heterogeneous priors and heterogeneous reactions affect trading volume. However, it is found that any change (positive or negative) in dispersion across groups with heterogeneous prior expectations will result in an increase in trading volume.

Suggested Citation

  • Rauterkus Andreas, 2024. "Investor Agreement and the Volume Response to Information," Baltic Journal of Real Estate Economics and Construction Management, Sciendo, vol. 12(1), pages 119-137.
    • Handle: RePEc:vrs:bjrecm:v:12:y:2024:i:1:p:119-137:n:1008
    DOI: 10.2478/bjreecm-2024-0008
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    References listed on IDEAS

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    1. Kim, O & Verrecchia, Re, 1991. "Trading Volume And Price Reactions To Public Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 302-321.
    2. Karpoff, Jonathan M, 1986. "A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
    3. Bamber, Linda Smith & Barron, Orie E. & Stober, Thomas L., 1999. "Differential Interpretations and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 369-386, September.
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