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Misinformation about dividend payouts influences transaction prices in experimental asset markets
Polak, Mateusz; Polczyk, Romuald - In: e-Finanse: Financial Internet Quarterly 15 (2019) 4, pp. 44-54
exposed to misinformation regarding dividend payouts in a previous game, with the correct dividend matrix also provided. The … (heterogeneously). RESULTS: Homogenous misinformation stating that the last game's dividend payouts were high, led to larger … treatments. It was also discovered that agents receiving the 'high dividend' misinformation had lower returns than non …
Persistent link: https://www.econbiz.de/10013466231
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Informed Trading and Stock Market Efficiency
Mäkinen, Taneli - 2015
The information content of stock prices is analysed without imposing strong restrictions on traders' preferences and the distribution of dividends. Noise in the information contained in equilibrium prices arises from endogenous asset supply, which offsets price movements due to informed trading....
Persistent link: https://www.econbiz.de/10013027362
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010353591
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Informational asymmetries in laboratory asset markets with state-dependent fundamentals
Keser, Claudia; Markstädter, Andreas - 2014 - This version: September 25, 2014
We investigate the formation of market prices in a new experimental setting involving multi-period call-auction asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and/or (2)...
Persistent link: https://www.econbiz.de/10010429127
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Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
Ahern, Kenneth R. - 2018
This paper exploits hand-collected data on illegal insider trades to provide new evidence of the ability of standard measures of illiquidity to detect informed trading. Controlling for unobserved cross-sectional and time-series variation, sampling bias, and strategic timing of insider trades, I...
Persistent link: https://www.econbiz.de/10012928785
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Price efficiency and trading behavior in limit order markets with competing insiders
Stöckl, Thomas - 2013
We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i)...
Persistent link: https://www.econbiz.de/10009744178
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Insider Trading with Correlation between Liquidity Trading and a Public Signal
Nishide, Katsumasa - 2009
We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's lambda, the price sensitivity to the order flow, can even be nonmonotonic, depending...
Persistent link: https://www.econbiz.de/10013155987
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Informed Trade, Uninformed Trade, and Stock Price Delay
Gordon, Narelle - 2016
This paper examines how the probability of informed trading (PIN), a measure of information-based trading risk developed by Easley et al (1996), affects the speed at which stock prices adjust to market-wide information. We find that in all but the least active stock portfolios, prices of low PIN...
Persistent link: https://www.econbiz.de/10013007704
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Asymmetric Information Consolidation and Price Discovery : Inferring Bad News from Insider Sales
Karamanou, Irene - 2020
Due to the paucity of sources of negative firm-specific information, US capital markets have more difficulty identifying and incorporating bad news into stock prices than they do good news. Even though insider selling is a potentially important proxy for undisclosed bad news, researchers have...
Persistent link: https://www.econbiz.de/10012856869
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Informed Trading and Maker-Taker Fees in a Low-Latency Limit Order Market
Brolley, Michael - 2020
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...
Persistent link: https://www.econbiz.de/10012857157