| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16476 |
| DP16476 Filing Speed, Information Leakage, and Price Formation | |
| Jeffrey L Callen; Ron Kaniel; Dan Segal | |
| 发表日期 | 2021-08-21 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This study investigates the price discovery process in equity markets with informed institutional investors. Consistent with extant theories, we show empirically that institutional investors, in contrast to retail investors, trade based on the leaked sign of unanticipated news and then (partially) reverse their trades when the news become public. We also find that the longer the leakage period for institutional investors to exploit, the less informative is the news when it becomes public. These results are robust to controls for firm press releases and news articles and endogeneity concerns. |
| 主题 | Financial Economics |
| 关键词 | Filing lag Institutional trading 8k reports Private information |
| URL | https://cepr.org/publications/dp16476 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545434 |
| 推荐引用方式 GB/T 7714 | Jeffrey L Callen,Ron Kaniel,Dan Segal. DP16476 Filing Speed, Information Leakage, and Price Formation. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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