Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212409 
Year of Publication: 
2018
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 1/2018
Publisher: 
Bank of Finland, Helsinki
Abstract: 
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we find that firm-year observations of VCV, computed from daily trading volumes, are correlated with extant firm-level measures of asymmetric information in the cross-section of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements.
JEL: 
D82
G12
G14
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-206-8
Document Type: 
Working Paper

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