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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| 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 |