INFORMATION, ASSET PRICES, AND THE VOLUME OF TRADE

被引：4

作者：

HUFFMAN, GW ^{[1
]}

机构：

[1] FED RESERVE BANK DALLAS, DALLAS, TX USA

来源：

JOURNAL OF FINANCE | 1992年 / 47卷 / 04期

关键词：

D O I：

10.2307/2328954

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A dynamic equilibrium model is constructed in which agents with access to different information sets participate in the capital market. Agents must use the equilibrium price of capital to make optimal forecasts of the return to holding capital. Examples show that the volume of trade, as well as the price of capital, can be highly correlated with a measure of the information content of prices. This measure of information is the difference between the unconditional entropy of the dividend and the entropy of the dividend conditional on observing the price of capital.

引用

页码：1575 / 1590

页数：16

共 10 条

[1]

ASH R, 1965, INFORMATION THEORY

[2]

FEINSTEIN A, 1958, F INFORMATION THEORY

[3] FURTHER RESULTS ON INFORMATIONAL EFFICIENCY OF COMPETITIVE STOCK MARKETS [J].