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Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 1/2018
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
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 der Erstveröffentlichung: 
ISBN: 
978-952-323-206-8
Dokumentart: 
Working Paper

Datei(en):
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