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Europa-Universität Viadrina Frankfurt (Oder) >
Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina >
Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22106
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gilbert, Aaron | | en_US |
| dc.contributor.author | | Tourani Rad, Alireza | | en_US |
| dc.contributor.author | | Wisniewski, Tomasz Piotr | | en_US |
| dc.date.accessioned | | 2009-01-29T14:26:11Z | | - |
| dc.date.available | | 2009-01-29T14:26:11Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22106 | | - |
| dc.description.abstract | | As was establihed in Llorenteetal (2001) the dynamic relationship between return and volume is a function of information asymmetry. This study extends their analysis by linking the volume induced return auto correlarion coefficients with the level of disclosed insider trading. Using New Zealand data, we document a strong link between the sustainability of tradegenerated price changes and the extent of insidertrading. This relationship is robust to alternative econometric specifications and remains significant even after controlling for conventional measure of information asymmetry such as bid-ask spreads size ananalyst following. This suggests that volume induced autocorrelation may be a suitable criterion on which to rank firms on the level of private information trading. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | The Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2005,9 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Insidertrading | | en_US |
| dc.subject.keyword | | return autocorrelation | | en_US |
| dc.title | | The relationship between insider trading and volume-induced return autocorrelation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 511298501 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina
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| p92005.pdf | | 108.98 kB | Adobe PDF |
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