Security Analysis and Trading Patterns When Some Investors Receive Information Before Others
分析部分投资者先于他人获得私有信息时的交易行为与信息获取均衡，发现特定条件下投资者会集中交易部分证券（羊群效应），并解释获利了结、跟随领头羊等策略的实证相关性。
ABSTRACT In existing models of information acquisition, all informed investors receive their information at the same time. This article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others. The model implies that, under some conditions, investors will focus only on a subset of securities (“herding”), while neglecting other securities with identical exogenous characteristics. In addition, the model is consistent with empirical correlations that are suggestive of oft‐cited trading strategies such as profit taking (short‐term position reversal) and following the leader (mimicking earlier trades).