Uncertainty about what is in the price

• 成果类型: Article
• 署名作者: Peress, Joel; Schmidt, Daniel
• 署名单位: INSEAD Business School; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103915
• 发表日期: 2024
• 关键词: Strategic trading; Learning from prices; Price impact

摘要

A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume - because it may result from stale news trading - has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.