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摘要
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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 returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings. The cross-section of information duration indicates that traders select days with high uninformed volume. Evidence from the U.S. SEC Whistleblower Reward Program and the FINRA involvement addresses selection concerns.
Keyword:
CROSS-SECTION
STOCK
INSIDER
PRICE
SECURITIES
ASYMMETRY
LIQUIDITY
MARKET
VOLUME
TIME
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论文数:
2.8K
被引数:
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Option volume and stock prices: Evidence on where informed traders trade.png)
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JOURNAL OF FINANCEIF9.5
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