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dc.contributor.authorYadav, Pradeep K.en_US
dc.contributor.authorBardong, Florianen_US
dc.contributor.authorBartram, Söhnke M.en_US
dc.description.abstractWe investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely consistent with intuition and earlier theory and empirical evidence, wherever available. We accordingly decompose informed trading into two components: one that reflects information asymmetry with respect to skilled information processors with potentially private information on systematic factors or who generate a private informational advantage using public data; and another unpredictable component that reflects truly private information, potentially of traditional insiders. We test the pricing relevance of both these components and find that it is only the unpredictable component reflecting truly private information that is priced, and is priced more strongly and in a manner more robust than total informed trading. Our pricing-relevance results strongly support Easley and O'Hara (2004) and do not support Hughes, et al. (2007).en_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 09-08en_US
dc.subject.keywordMarket microstructureen_US
dc.subject.keywordCommon factorsen_US
dc.subject.keywordRisk factorsen_US
dc.subject.keywordAsymmetric informationen_US
dc.subject.stwAsymmetrische Informationen_US
dc.titleInformed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSEen_US
dc.typeWorking Paperen_US
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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