Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203324
Authors: 
Gider, Jasmin
Schmickler, Simon
Westheide, Christian
Year of Publication: 
2019
Series/Report no.: 
SAFE Working Paper 248
Abstract: 
We study how stock price informativeness changes with the presence of highfrequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence market prices are a less reliable predictor of future cash ows and investment, even more so for longer horizons. Further, idiosyncratic volatility decreases, mutual funds trade less actively and their holdings deviate less from the market-capitalization weighted portfolio. These findings suggest that price informativeness declines with HFT presence, consistent with theoretical models of HFTs' ability to anticipate informed order ow, reducing incentives to acquire fundamental information.
Subjects: 
High-Frequency Trading
Price Efficiency
Information Acquisition
Information Production
JEL: 
G10
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.