Lack of Anonymity and the Inference from Order Flow

• 成果类型: Article
• 署名作者: Linnainmaa, Juhani T.; Saar, Gideon
• 署名单位: Cornell University; University of Chicago
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs002
• 发表日期: 2012
• 页码: 1414
• 关键词: DOMESTIC INVESTORS; Foreign investors; informed traders; MARKET; prices; INFORMATION; BEHAVIOR; equilibrium; specialist; time

摘要

This article investigates the information content of signals about the identity of investors and their role in price formation. Whereas we document that investors use multiple brokers, broker identity is nevertheless a powerful signal about the identity of investors who initiate trades. The market also correctly processes this signal: the permanent price impact of orders coming from different brokers fits the information profile of the investors associated with these brokers. Our results suggest that an increase in the degree of anonymity may render order flow less informative, which could explain why the literature has documented liquidity improvements in exchanges that reduce transparency.