Cross‐Asset Speculation in Stock Markets
研究信息不对称的投机者如何利用多只股票的私有信息和价格信息进行交易，导致价格相关性高于基本面，增加波动性，并分析投机者利润与信息、流动性分布的关系。
ABSTRACT In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. The covariance structure of asset fundamentals drives that of prices, while the covariance structure of liquidity trade drives that of order flows. We characterize how speculator profits vary with the distributions of information and liquidity trade across assets and speculators, and relate the cross‐asset factor structure of order flows to that of returns.