TY  - JOUR
AU  - He,Hua
AU  - Wang,Jiang
TI  - Differential Information and Dynamic Behavior of Stock Trading Volume
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5010
PY  - 1995
Y2  - February 1995
UR  - http://www.nber.org/papers/w5010
L1  - http://www.nber.org/papers/w5010.pdf
N1  - Author contact info:
Hua He
Yale School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
E-Mail: hua.he@yale.edu

Jiang Wang
MIT Sloan School of Management
100 Main Street, E62-614
Cambridge, MA 02142
Tel: 617/253-2632
Fax: 617/258-6855
E-Mail: wangj@mit.edu
AB  - This paper develops a multi-period 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.
ER  -