News Trading and Speed

• 成果类型: Article
• 署名作者: Foucault, Thierry; Hombert, Johan; Rosu, Ioanid
• 署名单位: Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12302
• 发表日期: 2016
• 页码: 335-382
• 关键词: VOLUME

摘要

We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is fast), versus when he cannot (is slow). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his profits from trading on long-term price changes. The fast speculator's behavior matches evidence about high-frequency traders. We predict that stocks with more informative news are more liquid even though they attract more activity from informed high-frequency traders.