This paper investigates whether information asymmetry affects corporate bond credit spreads. To gauge the extent of information asymmetry, we use decomposed equity institutional ownership based on the past investment and trading styles (Bushee(1998, 2001)). First, we detect that different institutional groups are associated with firms with varying degrees of information asymmetry. Moreover, we ...

This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activity. We use the proposed measure of information asymmetry to study daily changes in the level of in...

This abstract briefly describes an algorithm for determining the most likely 4-digit PINs associated with a debit card used at EuroCheque (ec) ATMs. We determine the probability of every PIN based on knowledge of the PIN-generation method and the data on the magnetic stripe. A card thief could use this strategy to optimally select the three PINs that he can try on a stolen card before it will b...

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...

Article history: Received 22 June 2011 Accepted 23 July 2012 Available online 31 July 2012 This study proposes a simple framework to disentangle insiders' opportunistic trade from liquidity trade. An opportunistic trade occurswhen the probability of informed trading and the speed of convergence to market efficiency increase in a month of an insider transaction. Using Thailand Securities Exchang...

We develop a theoretical model of government intervention in which with private information trades strategically other market participants to achieve its policy goal stabilizing asset prices. When the has precise and prioritizes goal, both informed insider engage reversed trading strategies, but they trade against each other. Government can improve liquidity price efficiency, effectiveness depe...

This paper characterizes informed trade when speculators can acquire distinct signals of varying quality about an asset’s value at different dates. The most reasonable characterization of private information about stocks is that while information is longlived, new information will arrive over time, information that may be acquired by others. Hence, while a speculator may know more than others a...