Feedback Trading between Fundamental and Nonfundamental Information
构建了一个内幕交易者利用噪声交易者过度反应的策略交易模型，发现内幕交易者基于基本面和非基本面信息的交易会产生反馈效应，导致股价不完全揭示信息，且内幕交易者的风险厌恶程度和噪声供给的均值回复速度会影响价格波动和交易行为。
We develop a strategic trading model in which an insider exploits noise traders' overreaction. A feedback effect arises from the insider's trading on fundamental information (the expected growth rate of dividends) and nonfundamental information (insider's inventory or noise supply). We find that the stock price is not fully revealing; a faster mean-reverting noise supply leads to a more volatile price; the price impact can increase with insider's risk-aversion; and a risk-averse insider can trade more aggressively on fundamental information than a risk-neutral one does. Insider's current trade and his previous inventory exhibit simultaneously positive forecasting powers for future stock returns.