Uncertainty about what is in the price

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-08-24 DOI:10.1016/j.jfineco.2024.103915

Joël Peress , Daniel Schmidt

引用次数: 0

Abstract

A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.

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价格内容的不确定性

打算利用私人信息进行交易的投机者面临的一个关键问题是，他们的信号是否已经被市场定价。在我们的模型中，投机者根据最近的价格走势来评估其信息的新颖性，而做市商则意识到投机者可能会利用陈旧的消息进行交易。对过去价格走势的非对称反应随之产生：价格上涨后，买入量（因为可能是陈旧新闻交易的结果）对价格的影响低于卖出量（价格下跌后则相反）。因此，收益偏度与滞后收益呈负相关。我们利用一个全面的美股样本，发现这些预测和其他预测都得到了有力的支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.