Trading Against the Random Expiration of Private Information: A Natural Experiment

• 成果类型: Article
• 署名作者: Bolandnazar, Mohammadreza; Jackson, Robert J., Jr.; Jiang, Wei; Mitts, Joshua
• 署名单位: Columbia University; Columbia University; U.S. Securities & Exchange Commission (SEC); U.S. Securities & Exchange Commission (SEC)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12844
• 发表日期: 2020
• 页码: 5-44
• 关键词: insider; prices; MARKET

摘要

For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between trading intensity and time elapsed varies with traders' learning process. Noise trading and relative information advantage play similar roles as in standard microstructure theories assuming a fixed time window.