TRADING BEHAVIOR AND ASSET PRICING UNDER HETEROGENEOUS EXPECTATIONS
This research models trading behavior and examines the impact of heterogeneous expectations on asset prices. We extend Kyle’s (1985) one-period model to two-period model. The model shows that the informed trader takes into account not only the private information but also the pricing function. The p...
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| Format: | Article |
| Language: | English |
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Universitas Gadjah Mada
2005-06-01
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| Series: | Gadjah Mada International Journal of Business |
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| Online Access: | https://jurnal.ugm.ac.id/gamaijb/article/view/5567 |