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- W2039042103 abstract "ABSTRACT This article combines the continuous arrival of information with the infrequency of trades, and investigates the effects on asset price dynamics of positive and negative‐feedback trading. Specifically, we model an economy where stocks and bonds are traded by two types of agents: speculators who maximize expected utility, and feedback traders who mechanically respond to price changes and infrequently submit market orders. We show that positive‐feedback strategies increase the volatility of stock returns, and the response of stock prices to dividend news. Conversely, the presence of negative‐feedback traders makes stock returns less volatile, and prices less responsive to dividends." @default.
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- W2039042103 date "1995-12-01" @default.
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- W2039042103 title "Asset Price Dynamics and Infrequent Feedback Trades" @default.
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- W2039042103 doi "https://doi.org/10.1111/j.1540-6261.1995.tb05196.x" @default.
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