Filing speed, information leakage, and price formation
نویسندگان
چکیده
This study investigates the price discovery process in equity markets with informed institutional investors. Consistent extant theories, we show empirically that investors, contrast to retail trade based on leaked sign of unanticipated news and then (partially) reverse their trades when become public. We also find longer leakage period for investors exploit, less informative is it becomes These results are robust controls firm press releases articles endogeneity concerns.
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ژورنال
عنوان ژورنال: Review of Accounting Studies
سال: 2022
ISSN: ['1380-6653', '1573-7136']
DOI: https://doi.org/10.1007/s11142-022-09673-5