منابع مشابه
How (Un)Informed Is Trading?
We estimate a structural model of strategic trader behavior that sheds light on the determinants of trading volume and stock returns. Our novel identification approach exploits enormous empirical variation in trading and volatility associated with the time of day and public news arrival. Over 95% of trading occurs during regular market hours (9:30am to 4pm), even though prices exhibit considera...
متن کاملInformed Trading in Stock and Option Markets
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock vola...
متن کاملInformed trading and the 'leakage' of information
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; ...
متن کاملInformed Trading and the Cost of Capital
Does information asymmetry among traders of a firm’s stock increase its cost of capital? We first show that institutional traders in the Shanghai Stock Exchange have a strong information advantage. We then show that past aggressiveness of institutional trading in a stock is a good predictor of institutions’ current and future information advantage in this stock. Sorting stocks on this predictor...
متن کاملInformed Options Trading prior to M&A Announcements: Insider Trading?∗
We investigate informed trading activity in equity options prior to the announcement of corporate mergers and acquisitions (M&A). For the target companies, we document pervasive directional options activity, consistent with strategies that would yield abnormal returns to investors with private information. This is demonstrated by positive abnormal trading volumes, excess implied volatility and ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Business
سال: 2003
ISSN: 0021-9398,1537-5374
DOI: 10.1086/375254