The more we know, the less we agree: A test of the trading horizon heterogeneity theory
研究了公开信息发布后交易量和波动性飙升的谜题，发现短期投资者比例越高，这一现象越明显，为交易期限异质性理论提供了证据。
Abstract We examine the Kondor theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of short‐term investors is positively associated with post‐announcement spikes in trading volume and return volatility. This finding survives in the identification test based on the annual reconstitutions of the Russell 1000 and 2000 indices. We show our results largely withstand several alternative explanations related to the constitution of institutional investors, informed trading, and heterogeneous beliefs.