Determinants of Intra-Day Stock Price Change and Asymmetric Information

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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Bibliographic Details
Main Author: Ting, Christopher Hian Ann
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Market Microstructure
Information Asymmetry
Finance and Financial Management
Portfolio and Security Analysis
Online Access: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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Institution: Singapore Management University
Language: English

Internet

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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