In a marketplace of repeated transactions with asymmetric information, theory predicts that sellers with a good reputation have a higher probability of sale and receive a higher transaction price. In this article, I test this theory using more than 55,000 auctions of quot;Gmail invitationsquot;...

In this paper, we develop a new approach to test whether momentum is indeed an anomaly in that it reflects delayed reactions, or continued overreactions, to firm specific news. Our methodology does not depend on a specific model of expected returns and, more importantly, does not require a...

This paper provides some rational perspective for the flight-to-liquidity event. My model highlights the inherent difference in investors' investment horizon, and thus their sensitivity to changes in transaction costs in the stock and bond markets. When stock market deterioration results in...

We develop a framework to investigate time-varying informed and uninformed trading activities and the relationship between them. Informed traders may match the level of the uninformed arrival rate with certain probability so as to make better use of the camouflage provided by the uninformed...

Building upon the seminal work of Easley, Kiefer, O'Hara and Paperman (1996), we develop a framework to investigate the relationship between the behavior of uninformed investors and the time-varying informed trading activities. We allow the arrival rates for uninformed traders to follow a Markov...

Discounted cash flow analysis suggests that high cash-flow-to-price ratios should predict high future stock return, low future cash flow growth, or both. Existing studies on the predictive power of the dividend-price ratio, however, produce evidence largely inconsistent with this prediction. In...

In this study, we model and measure the existence of informed trading. Specifically, we investigate the properties of the widely used measure of informed trading, PIN, developed by Easley and O'Hara, and establish three important features of informed trading. First, the existence of informed...

Purpose–The purpose of this paper is to conduct an empirical analysis of the trading performance of US corporate insiders. Design/methodology/approach–Based on the volume weighted average price (VWAP), the authors propose a metric to measure the trading performance of US corporate insiders:...

Purpose–The purpose of this paper is to provide some rational perspectives for the flight-to-liquidity event rather than simply attributing it to the change in investor sentiment. Design/methodology/approach–The paper builds a model to highlight the inherent difference in investors'...