We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the … (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is … more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and …

We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE … other microstructure effects, we find that two-sided clustering is associated with higher volatility but lower trading costs …. Our analysis has implications for trading motives, market structure, and the process by which new information is …

-autocorrelations in stock returns. We present a simple model where trading on private information occurs first in the large stocks and is … transmitted to small stocks with a lag. Such trading impacts large stock liquidity, so that, in equilibrium, large stock … information-based trading is more likely) …