Market Belief, Trading Volume, Price Volatility, andLiquidity

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock price is linearlyand positively correlated with market belief (investors’ average belief) about stock futurepayoffs. Further, it is shown in this paper that when market belief is more volatile,trading volume and liquidity decline while price volatility increases.[...]

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Year of publication:	2010-06-30
Authors:	Wang, Songtao
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Volatilität \| Liquidität \| Heterogenität \| Marktprognose \| prognosis \| Handelsvolumen \| trading volume

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Extent:	1024 bytes 60 p. application/pdf
Series:	FINRISK Working Papers Series Working Paper ; No. 625
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure ; Forecast, decision making ; Corporate finance and investment policy. General ; Study of commerce ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009305076