Determinants of Intra-Day Stock Price Change and Asymmetric Information
This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activit...
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sg-smu-ink.lkcsb_research-37662018-07-09T08:07:10Z Determinants of Intra-Day Stock Price Change and Asymmetric Information Ting, Christopher Hian Ann This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activity. We use the proposed measure of information asymmetry to study daily changes in the level of informed trading and find that earnings announcements narrow the information gap between the informed and the uninformed. On average, information asymmetry is largest at the beginning of the trading day and it decreases monotonically toward the closing bell. More importantly, the asymmetric information measure is negatively related to the number of shareholders, number of analysts following a firm and whether there is an exchange-traded equity option written on the firm’s stock. An implication of this finding is that firms can reduce information asymmetry by implementing disclosure measures that attract not only more investors and analysts but also option writers. 2005-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/2767 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3766/viewcontent/Chris_Dec05_it.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Market Microstructure Information Asymmetry Finance and Financial Management Portfolio and Security Analysis |
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Market Microstructure Information Asymmetry Finance and Financial Management Portfolio and Security Analysis Ting, Christopher Hian Ann Determinants of Intra-Day Stock Price Change and Asymmetric Information |
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This paper presents a synthesized model of asymmetric information. An empirical analysis of more than 1,400 NYSE common stocks shows that trade direction is more important than volume in revealing the asymmetry. There is also evidence to suggest that signed duration reflects informed trading activity. We use the proposed measure of information asymmetry to study daily changes in the level of informed trading and find that earnings announcements narrow the information gap between the informed and the uninformed. On average, information asymmetry is largest at the beginning of the trading day and it decreases monotonically toward the closing bell. More importantly, the asymmetric information measure is negatively related to the number of shareholders, number of analysts following a firm and whether there is an exchange-traded equity option written on the firm’s stock. An implication of this finding is that firms can reduce information asymmetry by implementing disclosure measures that attract not only more investors and analysts but also option writers. |
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text |
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Ting, Christopher Hian Ann |
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Ting, Christopher Hian Ann |
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Ting, Christopher Hian Ann |
title |
Determinants of Intra-Day Stock Price Change and Asymmetric Information |
title_short |
Determinants of Intra-Day Stock Price Change and Asymmetric Information |
title_full |
Determinants of Intra-Day Stock Price Change and Asymmetric Information |
title_fullStr |
Determinants of Intra-Day Stock Price Change and Asymmetric Information |
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Determinants of Intra-Day Stock Price Change and Asymmetric Information |
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determinants of intra-day stock price change and asymmetric information |
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Institutional Knowledge at Singapore Management University |
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2005 |
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https://ink.library.smu.edu.sg/lkcsb_research/2767 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3766/viewcontent/Chris_Dec05_it.pdf |
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