Informed Trading and Intertemporal Substitution
在多期消费模型中，研究了基于信息的交易发生的条件，发现跨期替代和异质性时间不可分偏好使得知情交易成为可能，而无总量冲击或同质偏好时则无交易。
ABSTRACT I examine the possibility of information‐based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have heterogeneous time‐inseparable preferences, information differentially affects relative preferences for current and future consumption, making information‐based trading mutually acceptable. The no‐trade result continues to hold if there is no aggregate shock, or if agents have either homogeneous or time‐separable preferences.