Order flow volatility and equity costs of capital
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger announ...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4552 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5551/viewcontent/OrderFlowVolatilityEquityCostsCapital_2016_wp.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |