We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...

Based on the notion that private information necessarily accompanies trade and leads to return variation, this paper explores the positive relationship between informed trade and firm-specific return variation. Using the PIN as a measure of informed trade, we find that the PIN is positively...

We model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market...

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...

We survey the theoretical literature on market liquidity. The literature traces illiquidity, i.e., the lack of liquidity, to underlying market imperfections. We consider six main imperfections: participation costs, transaction costs, asymmetric information, imperfect competition, funding...

We analyze commonality in informed trading across stocks, and how informed trading varies with the structural and trading characteristics of a firm. We thereby isolate the residual level of informed trading that is unrelated to commonality, trading characteristics, and structural...

We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...