This paper investigates the relation between liquidity and information based trading and the possible impact of market microstructure changes on this relationship. A model similar in spirit to that of wEasley et al. (1996b) J. Financ. 51(3) (1996) 811–833x is used to determine how often new information occurs and how it influences the composition of orders submitted to the market. There have be...

An Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transactions data is proposed. Based on the Autoregressive Conditional Duration (ACD) model of Engle and Russell (1998), the ACMD model assigns marks to characterize events such as price movements, order arrivals, or quote revisions. By marking tick movements, we study the influence of trade freque...

Abnormally high net insider selling is commonly observed after repurchase tender offer (RTO) announcements although, on average, firms experience positive abnormal returns in the years after the repurchases. We explore two potential explanations: liquidity trade timing and informed trading. Consistent with the notion that fixed price RTOs are more likely than Dutch-auction RTOs to signal underv...

This paper provides a novel method for identifying informed institutional trading. I argue that, given an information signal about a stock, an investor’s tastes for certain characteristics of that stock can influence his decision to trade on the information. Thus, trades which deviate from an investor’s tastes are more likely to reflect information. I test this hypothesis with respect to invest...

Empirical evidence shows word-of-mouth communication has real effects on trading patterns in financial markets. On top of that, the social network through which the information conveys also plays a crucial role. We propose a framework that allows informed traders to directly and truthfully communicate information in four major social interaction structures represented by circle, tree, star and ...

Although brokers’ trading is endemic in securities markets, the form of this trading differs between markets. Whereas in some securities markets, brokers may trade with their customers in the same transaction (simultaneous dual trading or SDT), in other markets, brokers are only allowed to trade after their customers in a separate transaction (consecutive dual trading or CDT). We show theoretic...

This paper studies a dynamic continuous time economy with discrete dividend payment dates and anticipative private information about future dividends. The economy is populated by informed and uninformed investors as well as active unskilled investors. Both competitive and monopolistic informed behaviors are examined. The existence of noisy rational expectations equilibria is demonstrated. Equil...

This paper provides a novel method for identifying informed institutional trading by conditioning on investors’ tastes. Given an information signal about a stock, an investor’s tastes for certain characteristics of that stock can influence his decision to trade. Thus, trades which deviate from an investor’s tastes are more likely to reflect information. I test this hypothesis with respect to in...

The present work studies the behavior of a monopolistic informed trader in a two-period competitive dealer market. We show that the informed trader may engage in stock price manipulation as a result of the exploitation of his informational advantage (su±cient conditions are provided). The informed trader achieves this manipulation by not trading in the ̄rst period according to the information r...

We use an economic experiment to examine the impact of an uncertain level of asymmetric information on the behavior of security dealers. Specifically, we distinguish three types of uncertainty with respect to informed trading risk, compound risk, and ambiguity for both a monopoly and a duopoly market setting. We find that dealers’ bidding behavior is less aggressive under ambiguity and compound...