Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 20 for “"informed trading"”.
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Three essays on informed trading
… consists of three essays and focuses on informed trading by various economic agents. The first essay provides causal evidence that compensation shocks due to missing relative performance goals prompts more opportunistic insider trading. I use a regression discontinuity design to identify …
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Two Essays on the Probability of Informed Trading
… methodology for estimating the probability of informed trading from the observed quotes and depths, by extending the Copeland and Galai (1983) model. This measure (PROBINF) can be computed for each quote and it represents the specialist's ex-ante estimate of the probability of informed trading. …
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Essays on the Role of Informed Trading in Stock Markets
The first essay, Chapter 3, shows that uninformed investors require a price discount to hold the stock because they perceive a new information uncertainty risk when short-sale constraints are binding and informed trading is absent. Stock prices become less informative when short-sale constraints …
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Probability of informed trading around scheduled and unscheduled corporate announcements
… characteristics affect the probability of informed trading (PI). Using the Bollen, Smith and Whaley (2004) model of inferring PI directly from trades, we investigate the differences in PI between the pre-announcement period and post-announcement period from 2002 to 2008 in the American …
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Probability of informed trading around scheduled and unscheduled corporate announcements
… characteristics affect the probability of informed trading (PI). Using the Bollen, Smith and Whaley (2004) model of inferring PI directly from trades, we investigate the differences in PI between the pre-announcement period and post-announcement period from 2002 to 2008 in the American …
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Information dissemination and corporate bankruptcies
I examine informed trading around Chapter 11 corporate bankruptcy filings. Using unique bankruptcy data and improved measures of high-frequency posterior probabilities of informed trading, I document a substantial increase in informed selling several days before bankruptcy announcements. This …
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The accuracy of financial analysts and market response
… though they are inaccurate most of the time, uninformed investors usually believe financial analysts. Furthermore, it seems that uninformed investors disbelieve analyst recommendation changes at those instances when analysts are most accurate. Because of this, we hypothesise that market makers …
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Does Investment Horizon Matter? Disentangling the Effect of Institutional Herding on Stock Prices
… shows that short-term institutions are better informed than long-term institutions. Motivated by heterogeneity in the level of informed trading between short-term and long-term institutions, this study disentangles the herding effect of short-term and long-term institutions on stock prices. Our …
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The informational feedback effect of stock prices on corporate disclosure
… revision periods is stronger when there is more informed trading. Further, the effect of investor information on the revision-return relation remains after controlling for various sources of managerial and public information, and is more pronounced when the information is more relevant to …
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P Depository Receipts (SPY) options, are studied. I test the hypothesis, based on the …
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AN EMPIRICAL INVESTIGATION OF THE BEHAVIOUR OF FOREIGN INVESTORS IN EMERGING MARKETS
… on individual stocks suggests no evidence of informed trading, suggesting that, foreigners have no particular advantage in terms of domestic information in the ISE. Employing daily trading data from five emerging stock markets, namely the Jakarta Stock Exchange, Korea Stock Exchange (KOSPI), …
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Selective disclosure: the case of the Korean securities market
… we provide strong evidence for a reduction in informed trading and information leakage prior to unscheduled earnings announcement and release of analysts’ recommendations. Overall, our results suggest that Regulation FD has been successful in eliminating selective disclosure and levelling the …
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Price discovery around Canadian equity trading halts using intraday data
… with transactions and quotes surrounding trading halts on the Montreal (ME) and Toronto Stock Exchanges (TSE). Trading halts are imposed by exchanges on listed securities, namely; in response to informed trading at the expense of uninformed traders, in order to force companies to comply …
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Incentives and Firm Behaviors
… investors. The sizable adverse price impact of trading increases transactions costs and stock volatility. The reduced gains from informed trading discourages the acquisition of private information and impedes the price discovery process. The first essay substantiates that shares of financially …
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Equity options trading and non-GAAP earnings disclosure
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2027-05-01
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Three essays in empirical derivatives
… parity violations. The second essay examines trading costs and price impact in the options market. Conventional measures of trading costs and price impact rely on the quote midpoint as an estimate of a true security value. However, investors use a more precise estimate of the true value which …
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Three essays on financial markets
… essays. The first essay extends Kyle (1985)'s informed trading model to allow for multiple informed traders, noise in informed traders' private signals and the probability of information events. The first essay's main theoretical findings are: (a) Other than the intuitive effect of incurring …
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Investors' horizon and stock prices
… three essays on the relation between investors' trading horizon and stock prices. The first chapter explores the theoretical relation between the horizon of traders and the negative externality generated by their activity on the information revealed by stock prices. The last two chapters focus on …
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ESSAYS ON FINANCIAL MARKETS, NETWORKS, AND TECHNOLOGIES
… a financial innovation that has seen phenomenal trading volume in the cryptocurrency space; and the transactions between cryptocurrencies, stablecoin, and fiat currency in India. Chapter 1 investigates the network structure of retail investor trading and its consequences for the U.S. equity …