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- Publisher Website: 10.1093/rfs/13.3.659
- Scopus: eid_2-s2.0-0034399514
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Article: Prices, liquidity, and the information content of trades
Title | Prices, liquidity, and the information content of trades |
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Authors | |
Issue Date | 2000 |
Citation | Review of Financial Studies, 2000, v. 13, n. 3, p. 659-696 How to Cite? |
Abstract | We investigate the effect of asymmetric information on prices and liquidity by analyzing trades, quotes, spreads, and depths. Information content should increase with trade size and the information asymmetry of the trading period. Results show that price and liquidity effects are significantly associated with information content as measured by both trade size and timing relative to information events. Results are stronger for purchases than sales. Quoted prices are better measures of information effects than transaction prices, because they control for bid-ask bounce. Finally, trades that a priori contain no information have no impact on prices and liquidity, despite their large size. |
Persistent Identifier | http://hdl.handle.net/10722/326026 |
ISSN | 2023 Impact Factor: 6.8 2023 SCImago Journal Rankings: 17.654 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Koski, Jennifer Lynch | - |
dc.contributor.author | Michaely, Roni | - |
dc.date.accessioned | 2023-03-09T09:57:29Z | - |
dc.date.available | 2023-03-09T09:57:29Z | - |
dc.date.issued | 2000 | - |
dc.identifier.citation | Review of Financial Studies, 2000, v. 13, n. 3, p. 659-696 | - |
dc.identifier.issn | 0893-9454 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326026 | - |
dc.description.abstract | We investigate the effect of asymmetric information on prices and liquidity by analyzing trades, quotes, spreads, and depths. Information content should increase with trade size and the information asymmetry of the trading period. Results show that price and liquidity effects are significantly associated with information content as measured by both trade size and timing relative to information events. Results are stronger for purchases than sales. Quoted prices are better measures of information effects than transaction prices, because they control for bid-ask bounce. Finally, trades that a priori contain no information have no impact on prices and liquidity, despite their large size. | - |
dc.language | eng | - |
dc.relation.ispartof | Review of Financial Studies | - |
dc.title | Prices, liquidity, and the information content of trades | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/rfs/13.3.659 | - |
dc.identifier.scopus | eid_2-s2.0-0034399514 | - |
dc.identifier.volume | 13 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 659 | - |
dc.identifier.epage | 696 | - |
dc.identifier.isi | WOS:000088333900006 | - |