Trade Timing, Price Volatility and Serial Correlation
构建多期竞争理性预期模型，发现知情交易者可能延迟交易以最大化效用，导致价格波动增大和正序列相关，有助于解释资产价格过度波动和中期动量现象。
Abstract This study sets up a multiple‐period, competitive rational expectations model to facilitate an examination into how informed traders time their trading on private information so as to maximise their expected utility. We find that, in equilibrium, informed traders may elect to trade late on their information, a result which contradicts other competitive rational expectations models in which it is generally assumed that informed traders will trade immediately upon receiving private information. Our results imply that price volatility will increase and price changes may display positive serial correlation. This phenomenon helps to explain the excess volatility puzzle of asset prices and medium‐term continuations (momentum) .