Chasing private information
Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7027 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8026/viewcontent/Chasing_Private_Information_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |