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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Cross-Sectional Identification of Informed Trading

Bongaerts, Dion - 2016

We propose a new approach to measuring informed trading in individual securities based on a portfolio optimization model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order flow, taking into account the price impact of trading. The...

Persistent link: https://www.econbiz.de/10013000039

A Review on Information Asymmetries in Financial Market

Han, Jungsuk - 2009

Informational aspect of financial equilibrium has received much attention in the past three decades. In particular, two main frameworks have become canonical models in information asymmetries of financial market: (i) Grossman and Stiglitz model, (ii) Kyle model. Although these two different...

Persistent link: https://www.econbiz.de/10013158249

Beauty Contests Under Private Information and Diverse Beliefs : How Different?

Kurz, Mordecai - 2007

is used to test hypotheses of HB. We show the common knowledge assumptions of the PI theory are implausible. The theories … differ on four main analytical issues. (1) The pricing theory under PI implies prices have infinite memory and at each t … rationality conditions impose restrictions on any HB theory. We explain the tight restrictions on the model's parameters imposed …

Persistent link: https://www.econbiz.de/10012775716

Informed Trading and Intertemporal Substitution

Xiao, Yizhou - 2019

I examine the possibility of information-based trading in a multiperiod consumption setting. I develop a necessary and sufficient condition for trade to occur. Intertemporal substitution introduces a desire to correlate current consumption with future aggregate shocks. When agents have...

Persistent link: https://www.econbiz.de/10012902934

Asymmetric Information and the Distribution of Trading Volume

Lof, Matthijs - 2019

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...

Persistent link: https://www.econbiz.de/10012903640

A Portfolio Optimization Approach to Identifying Private Information

Bongaerts, Dion - 2018

We propose a portfolio optimization approach to identifying private information. In our model, investors are exposed to liquidity and private information shocks and optimize their trading across stocks taking into account price impact (Kyle's Lambda). We obtain a very simple expression for a...

Persistent link: https://www.econbiz.de/10012937639

Trading Breaks and Asymmetric Information : The Option Markets

Kaplanski, Guy - 2018

We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an...

Persistent link: https://www.econbiz.de/10012940238

Information-Based Trading and Autocorrelation in Individual Stock Returns

Yin, Xiangkang - 2016

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Persistent link: https://www.econbiz.de/10013003395

Information-Based Trading and Autocorrelation in Individual Stock Returns

Yin, Xiangkang - 2016

Persistent link: https://www.econbiz.de/10013003995