Information, Asset Prices, and the Volume of Trade
构建了一个动态均衡模型，研究拥有不同信息的投资者如何利用资本均衡价格预测回报，并发现交易量和资本价格与价格信息含量高度相关。
ABSTRACT A dynamic equilibrium model is constructed in which agents with access to different information sets participate in the capital market. Agents must use the equilibrium price of capital to make optimal forecasts of the return to holding capital. Examples show that the volume of trade, as well as the price of capital, can be highly correlated with a measure of the information content of prices. This measure of information is the difference between the unconditional entropy of the dividend and the entropy of the dividend conditional on observing the price of capital.