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- Title
An Equilibrium Model of Asset Trading with Sequential Information Arrival.
- Authors
JENNINGS, ROBERT H.; STARKS, LAURA T.; FELLINGHAM, JOHN C.
- Abstract
In an effort to better understand the dynamic market price adjustment process, this paper develops a model which describes the impact of new information on a financial market. The primary emphasis is on the price change-volume relationship in the presence of a margin requirement. We find that the margin requirement significantly affects the relation of price change to volume. Furthermore, this relationship is shown to be affected by the number of investors in the market, the degree of information dissemination, differences in interpretation of information and the implicit cost of the margin requirement.
- Subjects
ECONOMIC equilibrium; MONEY market; FINANCIAL markets; MARKET prices; MARGINS (Security trading); PRICE level changes; FINANCIAL market reaction; INFORMATION dissemination; ECONOMIC models; EFFICIENT market theory; CAPITAL assets pricing model; INVESTMENT analysis
- Publication
Journal of Finance (Wiley-Blackwell), 1981, Vol 36, Issue 1, p143
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1981.tb03540.x