Differences of Opinion of Public Information and Speculative Trading in Stocks and Options

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Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “In contrast in a DOE, because investors may disagree about the interpretation of public information, it is possible to generate rich patterns of comovement among asset returns, trading volume, and market price volatility (e.g., Cao and Ou-Yang (2009) and Banerjee and Kremer (2010)).”
Learning from Prices and the Dispersion in Beliefs (2011, background): “, Harrison and Kreps (1978), Hong and Stein (2003), Scheinkman and Xiong (2003) and Cao and Ou-Yang (2008)), volume and volume-return characteristics (e.”
Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban (2012, unknown): “The Grundy and McNichols (1989), Harris and Raviv (1993) and Cao and Ou-Yang (2009) models of trade in noisy rational expectations settings suggest that the volume of option trade would be expected to increase with the increase in heterogeneity.”
Disagreement and Learning: Dynamic Patterns of Trade (2010, unknown): “Chae (2005) documents that volume jumps on an earnings announcement and then gradually decays over the next few days, and Ball and Kothari (1991) document that return volatility spikes on the date of an earnings announcement, but decays rapidly afterwards.”