The Effect of Informedness and Consensus on Price and Volume Behavior.
构建了一个部分揭示理性预期模型，区分信息发布带来的“信息知晓度效应”和“共识效应”，证明两者共同影响价格变化方差和交易量，为同时考察信息发布时的价格与交易量效应提供了经济学依据。
Abstract This paper presents a partially revealing rational expectations model of competitive trading to identify two effects of information releases; an informedness effect and a consensus effect. The informedness effect measures the extent to which agents become more knowledgeable, and the consensus effect measures the extent of agreement among agents at the time of an information release. We demonstrate that informedness and consensus generally occur jointly when information is disseminated, and that unexpected price changes and trading volume are each influenced by both informedness and consensus. Thus, interpretations of unexpected price changes and volume associated with information releases are conceptually similar. Since informedness and consensus each affect both the variance of price changes and volume, our paper provides an economic rationale for examining both price and volume effects at the time of information releases.