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High-Frequency Measures of Informed Trading and Corporate Announcements

https://doi.org/10.1093/rfs/hhy005
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s11156-013-0345-0openalex-snapshot
The implied intra-day probability of informed trading
inferredcites →https://doi.org/10.1016/0165-4101(94)90004-3openalex-snapshot
Market liquidity and volume around earnings announcements
inferredcites →https://doi.org/10.1016/0304-405x(87)90029-8openalex-snapshot
Price, trade size, and information in securities markets
inferredcites →https://doi.org/10.1016/0304-405x(94)00799-7openalex-snapshot
Anatomy of the trading process empirical evidence on the behavior of institutional traders
inferredcites →https://doi.org/10.1016/j.finmar.2006.09.003openalex-snapshot
The PIN anomaly around M&A announcements
inferredcites →https://doi.org/10.1016/j.jacceco.2008.12.002openalex-snapshot
The Effect of Earnings Surprises on Information Asymmetry
inferredcites →https://doi.org/10.1016/j.jacceco.2013.01.005openalex-snapshot
Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
inferredcites →https://doi.org/10.1016/j.jacceco.2016.04.002openalex-snapshot
Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day
inferredcites →https://doi.org/10.1016/j.jet.2010.03.008openalex-snapshot
Information-based trade
inferredcites →https://doi.org/10.1016/j.jfineco.2003.05.008openalex-snapshot
Limited arbitrage and short sales restrictions: evidence from the options markets
inferredcites →https://doi.org/10.1016/j.jfineco.2005.07.011openalex-snapshot
Stock price reaction to public and private information
inferredcites →https://doi.org/10.1016/j.jfineco.2007.10.008openalex-snapshot
Why is PIN priced?☆
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.008openalex-snapshot
Recent trends in trading activity and market quality
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.008openalex-snapshot
High-frequency quoting, trading, and the efficiency of prices
inferredcites →https://doi.org/10.1016/j.jfineco.2017.05.008openalex-snapshot
Informed trading and price discovery before corporate events
inferredcites →https://doi.org/10.1016/j.jfineco.2019.08.005openalex-snapshot
A comparison of some structural models of private information arrival
inferredcites →https://doi.org/10.1016/s0165-4101(98)00013-5openalex-snapshot
Pre-announcement and event-period private information
inferredcites →https://doi.org/10.1016/s0929-1199(00)00010-9openalex-snapshot
Comparing acquisitions and divestitures
inferredcites →https://doi.org/10.1017/s0022109000003197openalex-snapshot
Market Response to European Regulation of Business Combinations
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/367683openalex-snapshot
Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs
inferredcites →https://doi.org/10.1086/429654openalex-snapshot
Informational Content of Option Volume Prior to Takeovers
inferredcites →https://doi.org/10.1093/jjfinec/nbn003openalex-snapshot
Time-Varying Arrival Rates of Informed and Uninformed Trades
inferredcites →https://doi.org/10.1093/jjfinec/nbp005openalex-snapshot
Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
inferredcites →https://doi.org/10.1093/rfs/9.1.1openalex-snapshot
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
inferredcites →https://doi.org/10.1093/rfs/hhu032openalex-snapshot
High-Frequency Trading and Price Discovery
inferredcites →https://doi.org/10.1093/rfs/hhx133openalex-snapshot
Identifying Information Asymmetry in Securities Markets
inferredcites →https://doi.org/10.1093/rfs/hhx137openalex-snapshot
Does Algorithmic Trading Reduce Information Acquisition?
inferredcites →https://doi.org/10.1093/rof/rft054openalex-snapshot
Corporate Governance and the Timing of Earnings Announcements
inferredcites →https://doi.org/10.1111/1467-937x.00046openalex-snapshot
Asset Prices and Trading Volume in a Beauty Contest
inferredcites →https://doi.org/10.1111/ajfs.12078openalex-snapshot
High Speed Equities Trading: 1993–2012
inferredcites →https://doi.org/10.1111/j.1475-679x.2006.00196.xopenalex-snapshot
Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts
inferredcites →https://doi.org/10.1111/j.1475-6803.1997.tb00250.xopenalex-snapshot
MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01907.xopenalex-snapshot
ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb04888.xopenalex-snapshot
Merger Announcements and Insider Trading Activity: An Empirical Investigation
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-snapshot
Inferring Trade Direction from Intraday Data
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04004.xopenalex-snapshot
The Reaction of Investors and Stock Prices to Insider Trading
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04679.xopenalex-snapshot
An Empirical Analysis of Illegal Insider Trading
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04053.xopenalex-snapshot
The Behavior of Stock Prices Around Institutional Trades
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05166.xopenalex-snapshot
The New Issues Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04074.xopenalex-snapshot
Liquidity, Information, and Infrequently Traded Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04075.xopenalex-snapshot
Strategic Trading When Agents Forecast the Forecasts of Others
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04078.xopenalex-snapshot
Earnings Announcements and the Components of the Bid-Ask Spread
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00660.xopenalex-snapshot
Economic News and the Impact of Trading on Bond Prices
inferredcites →https://doi.org/10.1111/jofi.12127openalex-snapshot
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
inferredcites →https://doi.org/10.1111/jofi.12260openalex-snapshot
Do Prices Reveal the Presence of Informed Trading?
inferredcites →https://doi.org/10.1257/jep.15.2.103openalex-snapshot
New Evidence and Perspectives on Mergers
inferredcites →https://doi.org/10.1287/mnsc.2015.2250openalex-snapshot
Asymmetric Effects of Informed Trading on the Cost of Equity Capital
inferredcites →https://doi.org/10.1287/mnsc.2017.2848openalex-snapshot
Order Flow Volatility and Equity Costs of Capital
inferredcites →https://doi.org/10.1506/car.24.3.1openalex-snapshot
Letting the “Tail Wag the Dog”: The Debate over GAAP versus Street Earnings Revisited*
inferredcites →https://doi.org/10.2139/ssrn.1989555openalex-snapshot
Bulk Classification of Trading Activity
inferredcites →https://doi.org/10.2139/ssrn.933211openalex-snapshot
Testing the Pin Variable
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2676278openalex-snapshot
Does Insider Trading Really Move Stock Prices?
inferredcites →https://doi.org/10.2307/2951751openalex-snapshot
Trade with Heterogeneous Prior Beliefs and Asymmetric Information
inferredcites →https://doi.org/10.4016/11404.01openalex-snapshot
Buy and Sell Real Estate Philippines - Philippines Properties
inferredcites →https://doi.org/10.7916/d8765r99openalex-snapshot
On the Impossibility of Informationally Efficient Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Implications of Disclosing Ongoing M&A Negotiations: The Role of Managerial Learning
inferred← citeshttps://doi.org/10.2139/ssrn.2532128openalex-extracted
Cross-sectional identification of private information
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inferred← citeshttps://doi.org/10.2139/ssrn.2725696openalex-extracted
Informed Trading and Price Discovery in 90 Years
inferred← citeshttps://doi.org/10.2139/ssrn.2883233openalex-extracted
Intellectual Property News and Informed Trading: Evidence from Patenting Activities
inferred← citeshttps://doi.org/10.2139/ssrn.2938045openalex-extracted
Optimal Disclosure and Fight for Attention
inferred← citeshttps://doi.org/10.2139/ssrn.3152460openalex-extracted
Some People Say: Immature Information in Corporate Disclosures
inferred← citeshttps://doi.org/10.2139/ssrn.3287470openalex-extracted
Earnings Uncertainty and Attention
inferred← citeshttps://doi.org/10.2139/ssrn.3302096openalex-extracted
Information Leakage Prior to SEC Form Filings–Evidence from TAQ Millisecond Data
inferred← citeshttps://doi.org/10.2139/ssrn.3465304openalex-extracted
Brand Innovation and Informed Trading
inferred← citeshttps://doi.org/10.2139/ssrn.3494118openalex-extracted
Financial Market Frictions and Learning from the Stock Price
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Information Flows and Systematic Risk
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Is options trading informed? Evidence from credit rating change announcements
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Delayed informed trades and opinion divergence: Evidence from earnings releases
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Information and Communication Technologies for Financial Innovations
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Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series
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Data-driven tree structure for PIN models
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Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate
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Information leakage prior to market switches and the importance of Nominated Advisers
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The impact of informed trading on liquidity in Chinese crude oil futures
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Options market makers׳ hedging and informed trading: Theory and evidence
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Inferring trade directions in fast markets
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Investor short-termism and real investment
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Short selling and the pricing of PIN information risk
inferred← citeshttps://doi.org/10.1016/j.frl.2024.105385openalex-snapshot
The dynamics of informed trading around corporate bankruptcies
inferred← citeshttps://doi.org/10.1016/j.heliyon.2024.e34237openalex-snapshot
When does digital merger and acquisition create shareholder value? An empirical investigation in the Chinese context
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Informed trading and earnings announcement driven disagreement in global markets
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An unbiased computation methodology for estimating the probability of informed trading (PIN)
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Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains
inferred← citeshttps://doi.org/10.1016/j.irfa.2023.102987openalex-snapshot
Stock price swings and fundamentals: The role of Knightian uncertainty
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Information sharing within institutional investor networks
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Information flows in trading networks
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Estimating The Probability of Informed Trading: A Bayesian Approach
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Private information in trades, R2, and large stock price movements
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Uncertain Text and Price Reactions to Earnings Releases
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Does news affect disagreement in global markets?
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Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information
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The Informational Consequences of Good and Bad Mergers
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Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance
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“Death becomes her”: Market reaction to the death of controlling inside blockholders
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Herding and informed trading: Evidence from Chinese equity markets
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US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks
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A comparison of some structural models of private information arrival
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Disagreement about Public Information Quality and Informational Price Efficiency
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Drift Begone! Release Policies and Preannouncement Informed Trading
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Religion and corporate innovation
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Liquidity and earnings in event studies: Does data granularity matter?
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Analyst recommendations, acquirer’s valuation, and M&A performance: evidence from China
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A simple model of information- and liquidity-driven price changes: theory and evidence
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Good (Bad) News and the Probability of Informed Trading: Evidence from Illegal Insider Trading
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Cross-Sectional Identification of Private Information
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Withdrawn as duplicate: Cross-Sectional Identification of Private Information
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The Noninformation Cost of Trading and Its Relative Importance in Asset Pricing
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Speculative and Informative: Lessons from Market Reactions to Speculation Cues
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Identifying Information Asymmetry in Securities Markets
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Chasing Private Information
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Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?
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Does It Matter? Information Releases Before Versus After Trading Hours
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A Run-Down of Merger Target Run-Ups
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Informed Trading Intensity
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Religion and Corporate Innovation
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Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective
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A high-frequency test of the risk-return trade-off on macroeconomic announcement days
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Informed Options Trading Before Corporate Events
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Uncertainty Risk Resolution Before Earnings Announcements
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Voluntary Precision Disclosure and Endogenous Market Feedback
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Breaking the Quiet: Information Revelation before Corporate Events
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An Empirical Analysis of Conference-Driven Return Drift in Tech Stocks
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Information Asymmetry, Liquidity, and Dark Pool Trading
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When AI Reads the 10-Ks: The Effects of ChatGPT on Trading and Price Dynamics
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Price Formation and Information Flow in Earnings Prediction Markets
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Dark Market Share around Earnings Announcements and Speed of Resolution of Investor Disagreement
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Imprecise and Informative: Lessons from Market Reactions to Imprecise Disclosure
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Identifying Information Types in the Estimation of Informed Trading: An Improved Algorithm
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Information Leakage in Energy Derivatives around News Announcements
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