摘要翻译：
本文通过假设交易者不仅面临信息不对称，而且还存在先验信念的异质性，在内部人事后公开披露其股票交易的要求下，提出了一个多期交易模型。我们证明了在一个均衡中，非理性的内部人用一个噪声成分来掩盖他的交易，使得他的私人信息在过度自信或不自信时缓慢地线性地透露出来。本文还研究了交易信息披露条件下异质信念与交易强度之间的关系，发现不对称信息和异质先验信念的权重是相反的，并且在下一个周期内它们交替变化。在信息披露的要求下，非理性的内部人交易更加激进，导致市场深度变小。此外，“公开披露要求”和“异质先验信念”并存导致多期预期利润波动，总预期交易量较大，且与异质程度正相关。更重要的是，即使公开披露在某些时期也会导致非理性内部人的负利润，而内部交易在整个交易期内仍然是有利可图的。
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英文标题：
《Impact of heterogenous prior beliefs and disclosed insider trades》
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作者：
Fuzhou Gong, Hong Liu
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the fact. We show that there is an equilibrium in which the irrational insider camouflages his trades with a noise component so that his private information is revealed slowly and linearly whenever he is overconfident or underconfident. We also investigate the relationship between the heterogeneous beliefs and the trade intensity in the presence of trade disclosure, and show that the weights on asymmetric information and heterogeneous prior beliefs are opposite in sign and they change alternatively in the next period. Under the requirement of disclosure, the irrational insider trades more aggressively and leads to smaller market depth. Moreover, the co-existence of "public disclosure requirement" and "heterogeneous prior beliefs" leads to the fluctuant multi-period expected profits and a larger total expected trading volume which is positively related to the degree of heterogeneity. More importantly, even public disclosure may lead to negative profits of the irrational insider's in some periods, inside trading remains profitable from the whole trading period.
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PDF链接：
https://arxiv.org/pdf/1105.2414