{"title":"价格内容的不确定性","authors":"Joël Peress , Daniel Schmidt","doi":"10.1016/j.jfineco.2024.103915","DOIUrl":null,"url":null,"abstract":"<div><p>A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"161 ","pages":"Article 103915"},"PeriodicalIF":10.4000,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304405X24001387/pdfft?md5=a3e1da142d1ffeef93def072558526e1&pid=1-s2.0-S0304405X24001387-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Uncertainty about what is in the price\",\"authors\":\"Joël Peress , Daniel Schmidt\",\"doi\":\"10.1016/j.jfineco.2024.103915\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"161 \",\"pages\":\"Article 103915\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-08-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24001387/pdfft?md5=a3e1da142d1ffeef93def072558526e1&pid=1-s2.0-S0304405X24001387-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24001387\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24001387","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.
期刊介绍：
The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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