Momentum and Informed Trading
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is an important determinant of price momentum. The stronger return continuation in stocks with more informed trading cannot be explained by cross-sectional differences in uncertainty proxies such as analy...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/1563 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2562/viewcontent/WarachkaMMomentum.pdf |
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