| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18452 |
| 来源ID | Working Paper 18452 |
| Do prices reveal the presence of informed trading? | |
| Pierre Collin-Dufresne; Vyacheslav Fos | |
| 发表日期 | 2012-10-11 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The evidence suggests that when Schedule 13D filers trade aggressively, both high-frequency and low-frequency measures of stock liquidity indicate a higher stock liquidity. Importantly, measures that have been used as direct proxies for adverse selection, such the Kyle (1985) lambda, the Easley et al. (1996) pin measure, and the Amihud (2002) illiquidity measure, suggest that the adverse selection is lower when informed trading takes place. The evidence is consistent with informed traders being more aggressive when measured stock liquidity is high. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w18452 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576127 |
| 推荐引用方式 GB/T 7714 | Pierre Collin-Dufresne,Vyacheslav Fos. Do prices reveal the presence of informed trading?. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18452.pdf（492KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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