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Information, Analysts, and Stock Return Comovement
Hameed, Allaudeen - 2017
Analysts follow disproportionally firms whose fundamentals correlate more with those of their industry peers. This coverage pattern supports models of profit-maximizing information intermediaries producing preferentially information valuable in pricing more stocks. We designate highly followed...
Persistent link: https://www.econbiz.de/10012976655
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Automation, Speed, and Stock Market Quality : The NYSE's Hybrid
Hendershott, Terrence - 2015
Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know … little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key … dimensions of market quality. At the end of 2006 the New York Stock Exchange introduced its Hybrid Market, increasing automation …
Persistent link: https://www.econbiz.de/10013038154
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Options trading and stock price informativeness
Cao, Jie; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019
We find that single-name options trading increases the absolute level of information content of prices (stock price informativeness). We confirm our results through instrumental variable approach to control for potential endogeneity. We further show causality by using a difference-in-difference...
Persistent link: https://www.econbiz.de/10012179434
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Information Acquisition and Expected Returns : Evidence from EDGAR Search Traffic
Li, Frank Weikai - 2020
Using a novel dataset containing investors' access of company filings through the SEC's EDGAR system, we show that the abnormal number of IPs searching for firms' financial statements strongly predicts future stock returns and firm fundamentals. Consistent with theories of costly information...
Persistent link: https://www.econbiz.de/10012853809
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Does Algorithmic Trading Deter Information Acquisition?
Weller, Brian - 2018
Abstract I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze the rise of algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of...
Persistent link: https://www.econbiz.de/10012936927
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Three essays on forecasting and information acquisition in finance
Putintseva, Maria - 2013
Persistent link: https://www.econbiz.de/10010233956
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Stale information, shocks and volatility
Gropp, Reint; Kadareja, Arjan - 2007
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...
Persistent link: https://www.econbiz.de/10003878921
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Short Seller Skills in the Global Context : Public News Processing vs. Private Information Gathering
Gorbenko, Arseny - 2022
Using international data on equity loans and financial news stories across 29 countries, I find that short sellers’ informational advantage comes mostly from their superior ability to process public news. With a novel method to estimate the amount of shorting from outstanding equity loans, I...
Persistent link: https://www.econbiz.de/10014245035
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The Effect of Options on Information Acquisition and Asset Pricing
Huang, Shiyang - 2014
potentially unified theory to reconcile the conflicting empirical findings on the options listing of individual stocks in both the …
Persistent link: https://www.econbiz.de/10013046039
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Delegated Information Acquisition and Asset Pricing
Huang, Shiyang - 2017
This paper studies the joint determination of optimal contracts and equilibrium asset prices in an economy with multiple principal-agent pairs. Principals design optimal contracts that provide incentives for agents to acquire costly information. With agency problems, the agents' compensation...
Persistent link: https://www.econbiz.de/10012970952