| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24297 |
| 来源ID | Working Paper 24297 |
| Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades | |
| Kenneth R. Ahern | |
| 发表日期 | 2018-02-12 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper exploits hand-collected data on illegal insider trades to test whether standard illiquidity measures can detect informed trading. Controlling for unobserved cross-sectional and time-series variation, sampling bias, and strategic timing of insider trades, I find that only absolute order imbalance and the negative autocorrelation of order flows are statistically and economically robust predictors of insider trading. However, this result only holds for short-lived information. When information is long-lived, none of the measures of illiquidity I consider detect informed trading, including bid-ask spreads, Kyle's lambda, and Amihud illiquidity. These results suggest that standard measures of illiquidity have limited applications. |
| 主题 | Microeconomics ; General Equilibrium ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Other ; Law and Economics |
| URL | https://www.nber.org/papers/w24297 |
| 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/581969 |
| 推荐引用方式 GB/T 7714 | Kenneth R. Ahern. Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades. 2018. |
| 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 | ||
| w24297.pdf（352KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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