Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/measuring-the-information-content-of-stock-trades-pAUuBatWDM
References (34)
-
D. Easley, Maureen O'Hara (1987)
PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS*Journal of Financial Economics, 19
-
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
-
T. Ho, H. Stoll (1980)
On Dealer Markets under CompetitionJournal of Finance, 35
-
John Geweke, R. Meese, W. Dent (1983)
Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence☆Journal of Econometrics, 21
-
M. Goldman, A. Beja (1979)
Market Prices vs. Equilibrium Prices: Returns' Variance, Serial Correlation, and the Role of the SpecialistJournal of Finance, 34
-
Mark Garman. (1976)
An algebra for evaluating hedge portfoliosJournal of Financial Economics, 3
-
Glosten Glosten (1989)
The role of the monopolistic specialistJournal of Business, 62
-
Glosten Glosten, Paul Paul (1985)
Bid, ask and transaction prices in a market‐maker market with heterogeneously informed tradersJournal of Financial Economics, 14
-
Hasbrouck Hasbrouck, Robert Robert (1988)
An assessment of stock exchange and over‐the‐counter marketsJournal of Portfolio Management, 14
-
A. Beja, M. Goldman (1980)
On the Dynamic Behavior of Prices in DisequilibriumJournal of Finance, 35
-
Maureen O'Hara, George Oldfield (1986)
The Microeconomics of Market MakingJournal of Financial and Quantitative Analysis, 21
-
T. Ho, H. Stoll (1983)
The Dynamics of Dealer Markets Under CompetitionJournal of Finance, 38
-
L. Glosten, L. Harris (1988)
Estimating the components of the bid/ask spreadJournal of Financial Economics, 21
-
T. Copeland, D. Galai (1983)
Information Effects on the Bid‐Ask SpreadJournal of Finance, 38
-
T. Ho, H. Stoll (1981)
Optimal dealer pricing under transactions and return uncertaintyJournal of Financial Economics, 9
-
R. Chiang, Thomas Copeland, Robert Verrecchia, Nicholas Kiefer, Maureen O'Hara, Joseph Paperman (1988)
Insider Holdings and Perceptions of Information Asymmetry: A NoteJournal of Finance, 43
-
H. Stoll (1976)
Dealer Inventory Behavior: An Empirical Investigation of NASDAQ StocksJournal of Financial and Quantitative Analysis, 11
-
L. Glosten (1989)
Insider Trading, Liquidity, and the Role of the Monopolist SpecialistThe Journal of Business, 62
-
L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
-
H. Stoll (1989)
Inferring the Components of the Bid‐Ask Spread: Theory and Empirical TestsJournal of Finance, 44
-
L. Glosten (1987)
Components of the Bid-Ask Spread and the Statistical Properties of Transaction PricesJournal of Finance, 42
-
Joel Hasbrouck, T. Ho (1987)
Order Arrival, Quote Behavior, and the Return-Generating ProcessJournal of Finance, 42
-
W. Bagehot (1971)
The Only Game in TownFinancial Analysts Journal, 27
-
Garman Garman (1976)
Market microstructureJournal of Financial Economics, 3
-
Thomas Mcinish, R. Wood (1992)
An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE StocksJournal of Finance, 47
-
Joel Hasbrouck (1988)
Trades, quotes, inventories, and informationJournal of Financial Economics, 22
-
Y. Amihud, H. Mendelson (1980)
Dealership market: Market-making with inventoryJournal of Financial Economics, 8
-
C. Tatham (1952)
The Growth Factor in Electric Utility EarningsFinancial Analysts Journal, 8
-
R. Frydman, G. Judge, W. Griffith, R. Hill, Tsoung-chao Lee (1981)
The Theory and Practice of EconometricsJournal of Business & Economic Statistics, 3
-
Anat Admati, P. Pfleiderer (1988)
A Theory of Intraday Patterns: Volume and Price VariabilityReview of Financial Studies, 1
-
L. Harris (1990)
Estimation of Stock Price Variances and Serial Covariances from Discrete ObservationsJournal of Financial and Quantitative Analysis, 25
-
Y. Amihud, H. Mendelson (1982)
Asset Price Behavior in a Dealership MarketFinancial Analysts Journal, 38
-
Joel Hasbrouck, R. Schwartz (1988)
Liquidity and execution costs in equity markets, 14
-
R. Wood, Thomas Mcinish, J. Ord (1985)
An Investigation of Transactions Data for NYSE StocksJournal of Finance, 40
- Publisher
- Wiley
- Copyright
- 1991 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1991.tb03749.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.
Journal
The Journal of Finance – Wiley
Published: Mar 1, 1991