Differential Information and Dynamic Behavior of Stock Trading Volume
构建了一个多期理性预期模型，研究投资者在拥有关于股票价值的差异信息时，交易量如何随信息流变化，以及交易如何揭示私有信息。
This article develops a multiperiod rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors' trading reveals their private information.