High-Frequency Measures of Informed Trading and Corporate Announcements

• 成果类型: Article
• 署名作者: Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
• 署名单位: University of California System; University of California Los Angeles; University of Manchester; State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy005
• 发表日期: 2018
• 页码: 2326
• 关键词: market; price; INFORMATION; liquidity; volume; probability; EFFICIENCY; BEHAVIOR; RISK; news

摘要

We explore the dynamics of informed trading around corporate announcements of merger bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior probabilities of informed buying and selling. We find evidence of informed trading before the announcements and a significant part of the news in announcements is impounded in stock prices before the announcements by pre-event informed trading. We also find evidence of informed trading after the announcements. Most strikingly, the probability of informed trading after merger bids predicts the probability of the bid being withdrawn or met with a competing bid. For other announcements, post-announcement informed-trading probabilities predict subsequent returns.