Identifying Information Asymmetry in Securities Markets

• 成果类型: Article
• 署名作者: Back, Kerry; Crotty, Kevin; Li, Tao
• 署名单位: Rice University; Rice University; City University of Hong Kong
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx133
• 发表日期: 2018
• 页码: 2277
• 关键词: FLOW TOXICITY; FLASH CRASH; liquidity; RISK; probability; cost; ask; manipulation; volatility; components

摘要

We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and price impacts and between parameter estimates and stochastic volatility are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series and to characterize the information content of prices in the cross-section. We also compare the estimates to those from other models on various criteria.