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Information and trading targets in a dynamic market equilibrium
- Source :
- Journal of Financial Economics. 132:22-49
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- This paper describes equilibrium interactions between dynamic portfolio rebalancing given a private end-of-day trading target and dynamic trading on long-lived private information. Order-splitting for portfolio rebalancing injects multifaceted dynamics in the market. These include autocorrelated order flow, sunshine trading, endogenous learning, and short-term speculation. The model has testable implications for intraday patterns in volume, liquidity, price volatility, order-flow autocorrelation, differences between informed-investor and rebalancer trading strategies, and for how these patterns comove with trading-target volatility and other market conditions.
- Subjects :
- 040101 forestry
Economics and Econometrics
050208 finance
Strategy and Management
05 social sciences
04 agricultural and veterinary sciences
Market microstructure
Price discovery
Market liquidity
Order (exchange)
Accounting
0502 economics and business
Econometrics
Economics
0401 agriculture, forestry, and fisheries
Portfolio
Trading strategy
Volatility (finance)
Speculation
Finance
Subjects
Details
- ISSN :
- 0304405X
- Volume :
- 132
- Database :
- OpenAIRE
- Journal :
- Journal of Financial Economics
- Accession number :
- edsair.doi...........acbb7cfa4b5d89922d76a1568651d18a