Article2005

TRADE SIZE AND INFORMED TRADING: WHICH TRADES ARE “BIG”?

22 citations0/0 files storedThe Journal of Financial Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

Abstract We find adverse‐selection spread components increase sharply in the ratio of trade size to quoted depth, and spike when trade size equals quoted depth. We find that two previously documented and prominent indicators of informed trading, raw trade size and high‐trading volume half‐hours, offer almost no explanatory power for informed trading measures beyond trade size to quoted depth, and a third indicator, time of day, offers no explanatory power among trades with high trade size to quoted depth. Our results suggest trade size to quoted depth is perhaps the single most important indicator that a trade is informed.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 2002Is Information Risk a Determinant of Asset Returns?1988Estimating the components of the bid/ask spread 1997The Components of the Bid-Ask Spread: A General Approach

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.