Asymmetric Information, Trading Volume, and Portfolio Performance
نویسندگان
چکیده
منابع مشابه
Trading Volume, Information Asymmetry, and Timing Information
This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest when information asymmetry is high, while the opposite relation holds for volume after the announcement. I...
متن کاملTiming Information, Information Asymmetry, and Trading Volume
Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. Th...
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We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover. If two-fund separation holds, share turnover must be identical for all securities. If (K + 1)-fund separation holds, we show that turnover satisfies an approximately linear K-factor structure. T...
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Why do investors excessively tilt their portfolio towards domestic assets? Recent studies suggest asymmetric information plays a signi cant role in the home equity bias puzzle. A key assumption in theoretical models is that agents invest in assets and process information on their own. However, most international investments are executed by managers in nancial institutions. These institutions a...
متن کاملPortfolio Choice and Trading Volume with Loss-Averse Investors
This paper presents a model of portfolio choice and stock trading volume with lossaverse investors. The demand function for risky assets is discontinuous and non-monotonic: as wealth rises beyond a threshold investors follow a generalized portfolio insurance strategy. This behavior is consistent with the evidence in favor of the disposition effect. In addition, loss-averse investors will not ho...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2269008