Private Information, Trading Volume, and Stock-Return Variances
利用东京证券交易所周六开市和美国股票在东京上市的自然实验，发现股票收益方差主要由私人信息驱动的理性交易决定，而非非理性交易噪音或公共信息。
New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.