<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>In this research, an empirical model, which proposes that informational events affect trading volume due to heterogeneous reactions and heterogeneous prior expectations, is tested. Belief dispersion both across and within two sub-groups that proxy for those who own and do not own a given security are measured. The impact of this dispersion on trading volume is also tested. The results suggest that both heterogeneous priors and heterogeneous reactions affect trading volume. However, it is found that any change (positive or negative) in dispersion across groups with heterogeneous prior expectations will result in an increase in trading volume.</p>
</abstract>

In this research, an empirical model, which proposes that informational events affect trading volume due to heterogeneous reactions and heterogeneous prior expectations, is tested. Belief dispersion both across and within two sub-groups that proxy for those who own and do not own a given security are measured. The impact of this dispersion on trading volume is also tested. The results suggest that both heterogeneous priors and heterogeneous reactions affect trading volume. However, it is found that any change (positive or negative) in dispersion across groups with heterogeneous prior expectations will result in an increase in trading volume.

Investor Agreement and the Volume Response to Information

College of Business Administration, Department of Finance

Baltic Journal of Real Estate Economics and Construction Management

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Investor Agreement and the Volume Response to Information"}

In this research, an empirical model, which proposes that informational events affect trading volume due to heterogeneous reactions and heterogeneous prior...

Investor Agreement and the Volume Response to Information

Online veröffentlicht: 15. Juli 2024

Seitenbereich: 119 - 137

Eingereicht: 21. Feb. 2024

Akzeptiert: 30. März 2024

DOI: https://doi.org/10.2478/bjreecm-2024-0008

Schlüsselwörter
market efficiency, market liquidity, trading volume, information dissemination

© 2024 Andreas Rauterkus et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Investor Agreement and the Volume Response to Information

Online veröffentlicht: 15. Juli 2024

Seitenbereich: 119 - 137

Eingereicht: 21. Feb. 2024

Akzeptiert: 30. März 2024

DOI: https://doi.org/10.2478/bjreecm-2024-0008

Schlüsselwörtermarket efficiency, market liquidity, trading volume, information dissemination

© 2024 Andreas Rauterkus et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Schlüsselwörter
market efficiency, market liquidity, trading volume, information dissemination