Trading Against the Random Expiration of Private Information: A Natural Experiment
| Autor: | Joshua Mitts, Wei Jiang, Robert J. Jackson, Mohammadreza Bolandnazar |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance Natural experiment Exploit 05 social sciences Commission Accounting Stopping time 0502 economics and business Econometrics ComputingMilieux_COMPUTERSANDSOCIETY Business Public disclosure Noise (video) Private information retrieval Finance 050205 econometrics Pace |
| Zdroj: | The Journal of Finance. 75:5-44 |
| ISSN: | 1540-6261 0022-1082 |
| DOI: | 10.1111/jofi.12844 |
| Popis: | For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between trading intensity and time elapsed varies with traders' learning process. Noise trading and relative information advantage play similar roles as in standard microstructure theories assuming a fixed time window. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Plný text