A Rational Expectations Equilibrium with Informative Trading Volume
构建了一个理性预期均衡模型，证明交易量能帮助投资者评估价格中汇总信息的精确度，所有投资者同时从私人信号、市场价格和总交易量中学习。
ABSTRACT A large number of empirical studies find that trading volume contains information about the distribution of future returns. While these studies indicate that observing volume is helpful to an outside observer of the economy it is not clear how investors within the economy can learn from trading volume. In this paper, I show how trading volume helps investors to evaluate the precision of the aggregate information in the price. I construct a model that offers a closed‐form solution of a rational expectations equilibrium where all investors learn from (1) private signals, (2) the market price, and (3) aggregate trading volume.