Do Prices Reveal the Presence of Informed Trading?

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Fos, Vyacheslav
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Boston College
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12260
• 发表日期: 2015
• 页码: 1555-1582
• 关键词: BID-ASK SPREAD; INFORMATION; components; MARKET; liquidity; Activism

摘要

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though prices are positively impacted. Two channels help explain this phenomenon: (1) activists select times of higher liquidity when they trade, and (2) activists use limit orders. We conclude that, when informed traders can select when and how to trade, standard measures of adverse selection may fail to capture the presence of informed trading.