Many researchers have conducted experiments to study different aspects of insider trading. Experimental laboratory asset markets allow the researcher to control parameters that are impossible to control or even measure in empirical data (e.g., fundamental value of the asset, quality and quantity...

We study the link between informed trading and co-movement in illiquidity. We argue that investors concerned with liquidity and fire-sale shocks respond to an increase in informed trading by shifting their portfolios away from stocks with high information asymmetry. This rebalancing causes a...

We consider the novel question of whether the trading performance of an individual insider changes over time. We find that buying performance declines steadily and markedly as an insider executes successively more purchase transactions; conversely, insider returns slightly improve over...

We propose the Volume Coefficient of Variation (VCV) as a new and simple measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we obtain VCV from daily observations of...