Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/41391 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorYadav, Pradeep K.en
dc.contributor.authorBardong, Florianen
dc.contributor.authorBartram, Söhnke M.en
dc.date.accessioned2010-10-28T14:42:59Z-
dc.date.available2010-10-28T14:42:59Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/41391-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x09-08en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordMarket microstructureen
dc.subject.keywordCommon factorsen
dc.subject.keywordRisk factorsen
dc.subject.keywordAsymmetric informationen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwWertpapierhandelen
dc.subject.stwAsymmetrische Informationen
dc.subject.stwInformationseffizienzen
dc.subject.stwWertpapierbörseen
dc.subject.stwUSAen
dc.titleInformed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE-
dc.type|aWorking Paperen
dc.identifier.ppn616611196en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0908en

Files in This Item:
File
Size
460.95 kB





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