Asset Price Dynamics and Infrequent Feedback Trades
结合信息持续到达与交易不频繁的特点，研究正负反馈交易对资产价格动态的影响，发现正反馈策略增加股价波动和对股利消息的反应，负反馈则相反。
ABSTRACT This article combines the continuous arrival of information with the infrequency of trades, and investigates the effects on asset price dynamics of positive and negative‐feedback trading. Specifically, we model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility, and feedback traders who mechanically respond to price changes and infrequently submit market orders. We show that positive‐feedback strategies increase the volatility of stock returns, and the response of stock prices to dividend news. Conversely, the presence of negative‐feedback traders makes stock returns less volatile, and prices less responsive to dividends.