A Competitive Theory of Trading Volume with Heterogeneous Beliefs

郎咸平(Larry H. P. Lang) ； Robert H. Litzenberger ； Vicents Madrigal

《中國財務學刊》 1卷1期 (1993/07) Pp. 1-28

https://doi.org/10.6545/JoFS.1993.1(1).1

摘要

本文探討投資大眾對公共訊息的異質性解釋能否創造交易量提出實證研究，我們利用競爭均衡模型的靜態分析為基礎，以模型假設異質性預期及恆常性絕對風險趨避。在此假設基礎下，我們理論上證實交易量在公共訊息發布前後應會與相對異質性預期變數產生相關，在實證研究上，我們利用了美國最新出版的華爾街分析家對公司的所得預測來估計相對異質性預期變數，本文發現相對異質性預期變數對交易量有極顯著的影響。

並列摘要

The notion that diversity in interpretations of public information generates trading volume is formalized and tested empirically. A comparative static analysis of a competitive equilibrium under heterogeneous expectations and constant absolute risk aversions demonstrates that unsystematic trading volume in response to a public information release is related to the change in relative het erogeneity of beliefs. Using a large number of individual analysts' annual earnings forecasts, the het erogeneity variable is measured around interim quarterly earnings reports and shown to possess the predicted impact s on trading volume.