Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors
نویسندگان
چکیده
منابع مشابه
Intraday Trading Patterns: The Role of Timing
In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay — even though they expect the public expectation to move against them. This behavior causes distinct intra-day patterns with decreasing (L-shaped) spreads and increasing (reverse L-shaped) volume and probability of ...
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Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...
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I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when earnings are more volatile than cash flows...
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This paper, in a Shapley-Shubik market game framework, examines the effect of “leakage” of information: private information becoming available to uninformed traders at a later date. We show that (a) If information acquisition by the informed traders is costless, this leads to faster revelation of information; (b) If information acquisition is costly, there may be no acquisition of information; ...
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ژورنال
عنوان ژورنال: Australasian Accounting, Business and Finance Journal
سال: 2013
ISSN: 1834-2000,1834-2019
DOI: 10.14453/aabfj.v7i2.2