Earticle

초록

영어

We propose a rational expectations model of momentum and reversal based on sequential information acquisition around public disclosure. As more number of informed traders enter the markets with better information over time, liquidity premia gradually decrease and this leads to momentum. Reversal arises because prices deviated from the fundamental value due to liquidity trades are corrected in the long run. In the model, early-informed investors partially reverse their trades after public disclosure and trade against the serial correlation of asset returns. Meanwhile, late-informed investors follow contrarian strategies and their trades positively correlate with future asset returns. The model shows that, during financial crises, early-informed traders may escape from the markets and the price system becomes extremely uninformative.

목차

Abstract
 1. The Model
  1.1 Setup
  1.2 Demands of Informed traders
  1.3 Equilibrium
 2. Momentum, Reversal, and Trading Behavior of Investors
  2.1 Momentum and Reversal
  2.2 Numerical Comparative Statics
  2.3 Trading Behavior of Investors
 3. Equilibrium with Costly Information
  3.1 Expected Utilities of Informed traders
  3.2 Characteristics of Equilibrium
 4. Conclusion
 Appendix
 References

저자

• Seungyoun Cha [ The Institute of Finance and Banking, Seoul National University ]
• Kyoosung Jo [ Department of Finance, College of Business, Hallym University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330