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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Bibliographic Details
Main Authors: Hameed, A., HONG, Dong, Warachka, Mitchell Craig
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access: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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Institution: Singapore Management University
Language: English

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