Determinants of Intra-Day Stock Price Change and Asymmetric Information

• المؤلف الرئيسي: Ting, Christopher Hian Ann
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Market Microstructure; Information Asymmetry; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...