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Do Prices Reveal the Presence of Informed Trading? · Study

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PreprintDo Prices Reveal the Presence of Informed Trading?

Pierre Collin‐Dufresne2012

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Preprintgreen2012

Do Prices Reveal the Presence of Informed Trading?

Pierre Collin‐Dufresne · Vyacheslav Fos

140 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1997Industry costs of equity 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

Cited by

2019Liquidity and Information in Limit Order Markets 2021Informed Trading Intensity 2021Institutional Investors and Corporate Governance 2016Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism 2012Insider Trading, Stochastic Liquidity and Equilibrium Prices 2020Institutional Investors and Corporate Governance

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2015Do Prices Reveal the Presence of Informed Trading?article · 23 shared references 2021Informed Trading Intensityarticle · 14 shared references 2019Chasing Private Informationarticle · 13 shared references 2014The Empirical Analysis of Liquidityarticle · 11 shared references 199622 Modeling market microstructure time serieschapter · 10 shared references 2019A comparison of some structural models of private information arrivalarticle · 10 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations140

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2023629

openalex_workW2104914558

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2013

Blockholders and Corporate Governance

2020Contracts Between Firms and Shareholders