Learning from experience and trading volume

Review of Financial Economics - Tập 17 - Trang 245-260 - 2008
Avanidhar Subrahmanyam1
1Anderson School of Management, University of California, Los Angeles, United States

Tóm tắt

AbstractWe build a model where trading allows inexperienced agents to discern useful information sources. Upon losing money by trading on invalid information sources, investors learn from their experience and switch to alternative sources. Such activity leads to initial expected losses but later profitable trades. Trading activity is found to be increasing in the mass of such agents. Volume is greatest in firms with uncertain cash flows. Further, a greater number of information sources implies greater volume. This is consistent with the explosive growth in volume accompanying the growth of the internet, which presumably increases the number of heterogeneous information sources.

Tài liệu tham khảo

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Thông tin xuất bản

Review of Financial Economics

Tập 17

245-260

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