ALBUQUERQUE, RUI; FRANCISCO, EVA DE; MARQUES, LUIS B. - In: Journal of Finance 63 (2008) 5, pp. 2297-2343
We present a model of equity trading with informed and uninformed investors where informed investors trade on firm-specific and marketwide private information. The model is used to identify the component of order flow due to marketwide private information. Estimated trades driven by marketwide...