【毕业设计外文翻译用----金融市场微观结构外文文献】cao-lyons00invinf.pdf

Inventory Information





H. Henry Cao* 

Richard K. Lyons



This draft: 23 November 1999



Abstract

This paper introduces a new class of private information: inventory information.
Inventory information lies in the gap between the main approaches to micro-
structure theory, the inventory approach and the information approach. In the
inventory approach, agents do not speculate on the basis of private information.
In the information approach, agents do speculate on the basis of private informa-
tion, but that information is limited to a specific type—information about payoffs
(numerators in a valuation model). Inventory information lies in the gap because
it provides a basis for speculation, but is unrelated to payoffs. Speculation in this
case is based on forecasting valuation denominators. This new class of private
information brings clarity to markets like foreign exchange, where private in-
formation about payoffs is unlikely, yet there is empirical support for private in-
formation of some kind. We also assess empirical methodologies and conclude
that results are often over-interpreted: traditional specifications cannot distin-
guish these classes of private information. We specify and estimate an empirical
model with more resolving power. The results are consistent with the theory.



Correspondence
Professor Richard K. Lyons
Haas School of Business, UC Berkeley
Berkeley, CA 94720-1900
Tel: 510-642-1059, Fax: 510-643-1420
******@
/~lyons

*  Respective affiliations are UC Berkeley and UC Berkeley and NBER. Cao’s mailing address is the
same as Lyons’(Tel: 510-643-1426, ******@). We thank the following for valuable
comments: Bruno Biais, Jonathan Karpoff, Ananth Madhavan, James Wang, and seminar partici-
pants at Duke, Harvard, Washington, Insead, Oslo, Copenhagen, HEC, Toulouse, Florida, USC,
Arizona State, and the 1