Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - In: Journal of Financial and Quantitative Analysis 46 (2011) 03, pp. 709-736
This paper examines the relation between information transmission and cross-autocorrelations. We present a simple model, where informed trading is transmitted from large to small stocks with a lag. In equilibrium, large stock illiquidity induced by informed trading portends stronger...