Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

The Effect of Informedness and Consensus on Price and Volume Behavior

Robert W. Holthausen and Robert E. Verrecchia
The Accounting Review
Vol. 65, No. 1 (Jan., 1990), pp. 191-208
Stable URL: http://www.jstor.org/stable/247883
Page Count: 18
  • More info
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
The Effect of Informedness and Consensus on Price and Volume Behavior
Preview not available

Abstract

This paper presents a partially revealing rational expectations model of competitive trading to identify two effects of information releases; an informedness effect and a consensus effect. The informedness effect measures the extent to which agents become more knowledgeable, and the consensus effect measures the extent of agreement among agents at the time of an information release. We demonstrate that informedness and consensus generally occur jointly when information is disseminated, and that unexpected price changes and trading volume are each influenced by both informedness and consensus. Thus, interpretations of unexpected price changes and volume associated with information releases are conceptually similar. Since informedness and consensus each affect both the variance of price changes and volume, our paper provides an economic rationale for examining both price and volume effects at the time of information releases.

Page Thumbnails

  • Thumbnail: Page 
191
    191
  • Thumbnail: Page 
192
    192
  • Thumbnail: Page 
193
    193
  • Thumbnail: Page 
194
    194
  • Thumbnail: Page 
195
    195
  • Thumbnail: Page 
196
    196
  • Thumbnail: Page 
197
    197
  • Thumbnail: Page 
198
    198
  • Thumbnail: Page 
199
    199
  • Thumbnail: Page 
200
    200
  • Thumbnail: Page 
201
    201
  • Thumbnail: Page 
202
    202
  • Thumbnail: Page 
203
    203
  • Thumbnail: Page 
204
    204
  • Thumbnail: Page 
205
    205
  • Thumbnail: Page 
206
    206
  • Thumbnail: Page 
207
    207
  • Thumbnail: Page 
208
    208