Informed Trading and Intertemporal Substitution
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要I examine the possibility of information-based trading in a multi-period consumption setting. I develop a necessary and sufficient condition for a trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have heterogeneous time-inseparable preferences, information affects relative preferences for current and future consumption differently among agents, making information-based trading mutually acceptable. The no-trade result still holds if there is no aggregate shock, or agents have either homogeneous or time-separable preferences.
出版社接受日期06.06.2019
著者Yizhou Xiao
期刊名稱Journal of Finance
出版年份2020
月份4
卷號75
期次2
出版社Wiley
頁次1135 - 1156
國際標準期刊號0022-1082
電子國際標準期刊號1540-6261
語言美式英語

上次更新時間 2021-14-01 於 01:13