Differences of Opinion Make a Horse Race

M. Harris; A. Raviv

doi:10.1093/rfs/6.3.473

Differences of Opinion Make a Horse Race

M. Harris, A. Raviv

Finance

Research output: Contribution to journal › Article › peer-review

Abstract

A model of trading in speculative markets is based on differences of opinion among traders. Our purpose is to explain some of the empirical regularities that have been documented concerning the relationship between volume and price and the time-series properties of price and volume. We assume that traders share common prior beliefs and receive common information but differ in the way in which they interpret this information. Some results are that absolute price changes and volume are positively correlated, consecutive price changes exhibit negative serial correlation, and volume is positively autocorrelated.

Original language	English
Pages (from-to)	473-506
Journal	Rev. Financ. Stud.
Volume	6
DOIs	https://doi.org/10.1093/rfs/6.3.473
State	Published - 1993

Access to Document

10.1093/rfs/6.3.473

Cite this

@article{f2d2075925a1488fb00235ef3f0ccf15,

title = "Differences of Opinion Make a Horse Race",

abstract = "A model of trading in speculative markets is based on differences of opinion among traders. Our purpose is to explain some of the empirical regularities that have been documented concerning the relationship between volume and price and the time-series properties of price and volume. We assume that traders share common prior beliefs and receive common information but differ in the way in which they interpret this information. Some results are that absolute price changes and volume are positively correlated, consecutive price changes exhibit negative serial correlation, and volume is positively autocorrelated.",

author = "M. Harris and A. Raviv",

year = "1993",

doi = "10.1093/rfs/6.3.473",

language = "English",

volume = "6",

pages = "473--506",

journal = "Rev. Financ. Stud.",

}

TY - JOUR

T1 - Differences of Opinion Make a Horse Race

AU - Harris, M.

AU - Raviv, A.

PY - 1993

Y1 - 1993

N2 - A model of trading in speculative markets is based on differences of opinion among traders. Our purpose is to explain some of the empirical regularities that have been documented concerning the relationship between volume and price and the time-series properties of price and volume. We assume that traders share common prior beliefs and receive common information but differ in the way in which they interpret this information. Some results are that absolute price changes and volume are positively correlated, consecutive price changes exhibit negative serial correlation, and volume is positively autocorrelated.

AB - A model of trading in speculative markets is based on differences of opinion among traders. Our purpose is to explain some of the empirical regularities that have been documented concerning the relationship between volume and price and the time-series properties of price and volume. We assume that traders share common prior beliefs and receive common information but differ in the way in which they interpret this information. Some results are that absolute price changes and volume are positively correlated, consecutive price changes exhibit negative serial correlation, and volume is positively autocorrelated.

U2 - 10.1093/rfs/6.3.473

DO - 10.1093/rfs/6.3.473

M3 - Article

VL - 6

SP - 473

EP - 506

JO - Rev. Financ. Stud.

JF - Rev. Financ. Stud.

ER -

Differences of Opinion Make a Horse Race

Abstract

Access to Document

Fingerprint

Cite this