Time-Varying Information, Strategic Informed Trading, and Price Dynamics

1 January 2004

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.623101

Abstract

This paper presents an infinite horizon model of strategic informed trading when private information and pubic dividend announcements follow a VAR process. Ther

Keywords

MODEL
STRATEGIC
INFINITE
PRICE
THER
VAR
PUBIC
ANNOUNCEMENTS
DIVIDEND
HORIZON

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