Information, trading, and product market interactions: Cross-sectional implications of informed trading

• 成果类型: Article
• 署名作者: Tookes, Heather E.
• 署名单位: Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01319.x
• 发表日期: 2008
• 页码: 379-413
• 关键词: OPTION VOLUME; Order Flow; STOCK; prices; COMPETITION; contagion; INSIDERS; profits; IMPACT; time

摘要

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earnings announcements, I use intraday transactions data to test the hypothesis that net order flow and returns in the stocks of nonannouncing competitors have information content for announcing firms.