Lee, Bong-Soo; Rui, Oliver M - In: Review of Quantitative Finance and Accounting 17 (2001) 4, pp. 327-50
This paper empirically identifies non-informational and informational trades using stock returns and trading volume data of the U.S., Japanese, and U.K. stock markets and five individual firms. We achieve the identification by imposing a restriction from theoretical considerations. Our results...