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作者：Back, Kerry; Crotty, Kevin; Li, Tao
作者单位：Rice University; Rice University; City University of Hong Kong
摘要：We propose and estimate a model of endogenous informed trading that is a hybrid of the PIN and Kyle models. When an informed trader trades optimally, both returns and order flows are needed to identify information asymmetry parameters. Empirical relationships between parameter estimates and price impacts and between parameter estimates and stochastic volatility are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series and to charact...
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作者：Berton, Fabio; Mocetti, Sauro; Presbitero, Andrea F.; Richiardi, Matteo
作者单位：University of Turin; Collegio Carlo Alberto; European Central Bank; Bank of Italy; International Monetary Fund; University of Oxford; University of Oxford; Collegio Carlo Alberto
摘要：We analyze the heterogeneous employment effects of financial shocks using a rich data set of job contracts, matched with the universe of firms and their lending banks in one Italian region. To isolate the effect of the financial shock, we construct a firm-specific time-varying measure of credit supply. The preferred estimate indicates that the average elasticity of employment to a credit supply shock is 0.36. Adjustment affects both the extensive and the intensive margins and is concentrated a...
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作者：Boehmer, Ekkehart; Li, Dan; Saar, Gideon
作者单位：Singapore Management University; University of Hong Kong
摘要：We examine product differentiation in the high-frequency trading (HFT) industry, where the products are secretive proprietary trading strategies. We demonstrate how principal component analysis can be used to detect underlying strategies common to multiple HFT firms and show that there are three product categories with distinct attributes. We study how HFT competition in each product category affects the market environment and present evidence that indicates how it influences the short-horizon...
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作者：Han, Song; Keys, Benjamin J.; Li, Geng
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作者：Bao, Jack; Hou, Kewei
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作者：Yao, Chen; Ye, Mao
作者单位：Chinese University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：We show that queue rationing under price controls is one driver of high-frequency trading. Uniform tick sizes constrain price competition and create rents for liquidity provision, particularly for securities with lower prices. The time priority rule allocates rents to high-frequency traders (HFTs) because of their speed advantage. An increase in relative tick size, defined as uniform tick sizes divided by security prices, increases the fraction of liquidity provided by HFTs but harms liquidity...
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作者：Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar
作者单位：University of California System; University of California Los Angeles; University of Manchester; State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：We explore the dynamics of informed trading around corporate announcements of merger bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior probabilities of informed buying and selling. We find evidence of informed trading before the announcements and a significant part of the news in announcements is impounded in stock prices before the announcements by pre-event informed trading. We also find evidence of informed trading after the announcements. Most striking...
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作者：Banerjee, Snehal; Davis, Jesse; Gondhi, Naveen
作者单位：University of California System; University of California San Diego; University of North Carolina; University of North Carolina Chapel Hill; INSEAD Business School
摘要：No. In the presence of speculative opportunities, investors can learn about both asset fundamentals and the beliefs of other traders. We show that this learning exhibits complementarity: learning more along one dimension increases the value of learning about the other. As a result, regulatory changes may be counterproductive. First, increasing transparency (i.e., making fundamental information cheaper to acquire) can make prices less informative when investors respond by learning relatively mo...
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作者：Plosser, Matthew C.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Universidade Nova de Lisboa
摘要：This paper investigates banks' incentive to bias the risk estimates they report to regulators. Within loan syndicates, we find that banks with less capital report lower risk estimates. Consistent with an effort to mitigate capital requirements, the sensitivity to capital is robust to bank fixed effects and greater for large, risky, and opaque credits. Also, low-capital banks' risk estimates have less explanatory power than those of high-capital banks with regard to loan prices, indicating that...
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作者：Weller, Brian M.
作者单位：Duke University
摘要：I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of prices and a comprehensive panel of 54,879 stock-quarters of Securities and Exchange Commission (SEC) market data, I establish instead that the amount of information in prices decreases by 9% to 13% per standard deviation of A...
