منابع مشابه
Price Discovery and Trading After Hours
We examine the effects of trading after hours on the amount and timing of price discovery over the 24-hour day. A high volume of liquidity trade facilitates price discovery. Thus prices are more efficient and more information is revealed per hour during the trading day than after hours. However, the low trading volume after hours generates significant, albeit inefficient, price discovery. Indiv...
متن کاملLiquidity Externalities and Adverse Selection: Evidence from Trading after Hours
This paper examines liquidity externalities by analyzing trading costs after hours. There is less than 1/20 as many trades per unit time after hours as during the trading day. The reduced trading activity results in substantially higher trading costs: quoted and effective spreads are three to four times larger than during the trading day. The higher spreads reflect greater adverse selection and...
متن کاملInsiders’ Informative Trading: Evidence from Multi-company Directors
This paper examines the “relative” information contained in insider director transactions. We find that insider transactions of multi-company directors reflect superior information about future relative returns; that is, directors are more likely to buy (sell) stocks of firms they direct that have better (worse) future returns. Examining related issues, we find weak support that December tax lo...
متن کاملA Rational Expectations Equilibrium with Informative Trading Volume
Grossman (1976) shows how market prices aggregate private information. In this paper I show how trading volume helps investors to interpret the aggregate information in the price. I construct a model where investors trade for two reasons: private information and risk sharing. When trading volume is high, investors know that private signals are dispersed. They therefore weight the market price h...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 1998
ISSN: 0270-7314,1096-9934
DOI: 10.1002/(sici)1096-9934(199808)18:5<563::aid-fut4>3.0.co;2-0