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- W1982243735 abstract "ABSTRACT In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. The covariance structure of asset fundamentals drives that of prices, while the covariance structure of liquidity trade drives that of order flows. We characterize how speculator profits vary with the distributions of information and liquidity trade across assets and speculators, and relate the cross‐asset factor structure of order flows to that of returns." @default.
- W1982243735 created "2016-06-24" @default.
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- W1982243735 date "2008-09-10" @default.
- W1982243735 modified "2023-10-02" @default.
- W1982243735 title "Cross-Asset Speculation in Stock Markets" @default.
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- W1982243735 doi "https://doi.org/10.1111/j.1540-6261.2008.01400.x" @default.
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