Chasing Private Information

• 成果类型: Article
• 署名作者: Kacperczyk, Marcin; Pagnotta, Emiliano S.
• 署名单位: Imperial College London; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz029
• 发表日期: 2019
• 页码: 4997
• 关键词: cross-section; STOCK; insider; price; securities; asymmetry; liquidity; MARKET; volume; time

摘要

Using over 5,000 trades unequivocally based on nonpublic information about firm fundamentals, we find that asymmetric information proxies display abnormal values on days with informed trading. Volatility and volume are abnormally high, whereas illiquidity is low, in equity and option markets. Daily returns reflect the sign of private signals, but bid-ask spreads are lower when informed investors trade. Market makers' learning under event uncertainty and limit orders help explain these findings. The cross-section of information duration indicates that traders select days with high uninformed volume. Evidence from the U.S. SEC Whistleblower Reward Program and the FINRA involvement addresses selection concerns.