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- Publisher Website: 10.1017/S0022109018000212
- Scopus: eid_2-s2.0-85051374541
- WOS: WOS:000440810800003
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Article: Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes
Title | Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes |
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Authors | |
Issue Date | 2018 |
Citation | Journal of Financial and Quantitative Analysis, 2018, v. 53, n. 4, p. 1509-1546 How to Cite? |
Abstract | We use a proprietary data set to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publicly announced. We provide the first empirical evidence supporting theoretical predictions that early-informed traders sell the news after buying the rumor. Further, we find distinct profit-taking patterns across different classes of institutions. Uninformed institutions, but not individuals, emerge as de facto liquidity providers to better-informed institutions. Placebo tests confirm that these trading patterns are unique to situations in which some investors have a short-lived informational advantage. |
Persistent Identifier | http://hdl.handle.net/10722/326406 |
ISSN | 2023 Impact Factor: 3.7 2023 SCImago Journal Rankings: 3.980 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Kadan, Ohad | - |
dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Moulton, Pamela C. | - |
dc.date.accessioned | 2023-03-09T10:00:26Z | - |
dc.date.available | 2023-03-09T10:00:26Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Journal of Financial and Quantitative Analysis, 2018, v. 53, n. 4, p. 1509-1546 | - |
dc.identifier.issn | 0022-1090 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326406 | - |
dc.description.abstract | We use a proprietary data set to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publicly announced. We provide the first empirical evidence supporting theoretical predictions that early-informed traders sell the news after buying the rumor. Further, we find distinct profit-taking patterns across different classes of institutions. Uninformed institutions, but not individuals, emerge as de facto liquidity providers to better-informed institutions. Placebo tests confirm that these trading patterns are unique to situations in which some investors have a short-lived informational advantage. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial and Quantitative Analysis | - |
dc.title | Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1017/S0022109018000212 | - |
dc.identifier.scopus | eid_2-s2.0-85051374541 | - |
dc.identifier.volume | 53 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 1509 | - |
dc.identifier.epage | 1546 | - |
dc.identifier.eissn | 1756-6916 | - |
dc.identifier.isi | WOS:000440810800003 | - |