Asymmetric information, heterogeneous prior beliefs, and public information

doi:10.1016/j.iref.2016.07.005

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	Asymmetric information, heterogeneous prior beliefs, and public information
	Gong, Fuzhou1 ; Liu, Hong 2,3,4
	2016-11-01
发表期刊	INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
ISSN	1059-0560
卷号	46 页码:100-120
摘要	We present a dynamic trading model that assumes traders face not only asymmetric information but also heterogeneous prior beliefs under a mandatory public disclosure requirement. We find that the overconfident insider chooses to trade in an alternating way in the sense that he underreacts to his information in the first period, overreacts in the second, underreacts in the third, overreacts in the fourth, and so on. The irrational insider trades in this way not only to dissimulate his information but also to equalize his profits across periods. The coexistence of public disclosure and heterogeneous prior beliefs leads to large and fluctuant trading volumes, and the more underconfident the insider is, the greater is the degree of fluctuation. Also, contrarian and momentum trading arise en-dogenously as a result of the insider's irrationality and the public disclosure. Finally, we present the economic explanation for our model by giving the Granger causality relationship between the amended price series and the insider's trading order series. (C) 2016 Elsevier Inc. All rights reserved.
关键词	Public disclosure Insider trading Price discovery Heterogeneous prior beliefs Granger causality
DOI	10.1016/j.iref.2016.07.005
语种	英语
资助项目	National Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[11201060] ; National Natural Science Foundation of China[11471069] ; National Natural Science Foundation of China[11126107] ; China's National 973 Project[2006CB805900] ; China Scholarship Council[201406625063]
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000390638200008
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24430
专题	应用数学研究所
通讯作者	Liu, Hong
作者单位	1.Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Northeast Normal Univ, MOE Key Lab Appl Stat, Sch Math & Stat, Changchun 130024, Peoples R China 3.Cent Univ Finance & Econ, China Econ & Management Acad, Beijing 100081, Peoples R China 4.Cent Univ Finance & Econ, CIAS, Beijing 100081, Peoples R China
推荐引用方式 GB/T 7714	Gong, Fuzhou,Liu, Hong. Asymmetric information, heterogeneous prior beliefs, and public information[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,2016,46:100-120.
APA	Gong, Fuzhou,&Liu, Hong.(2016).Asymmetric information, heterogeneous prior beliefs, and public information.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,46,100-120.
MLA	Gong, Fuzhou,et al."Asymmetric information, heterogeneous prior beliefs, and public information".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 46(2016):100-120.