{"title":"订单不平衡是否代表了私人信息?","authors":"Sukwon Thomas Kim, H. Stoll","doi":"10.2139/ssrn.2022642","DOIUrl":null,"url":null,"abstract":"Trading imbalances are often interpreted to be the result of informed trading. Yet imbalances may simply reflect random shocks or the results of liquidity trading. If trading imbalances reflect informed trading, they should anticipate major news events. Using announcements of earnings, acquisition targets, and seasoned equity offerings as our information events, we examine whether prior trading imbalances are related to the subsequent news. We conclude that imbalances do not well reflect the information held by informed traders. Trading imbalances do have price effects, but they are contemporaneous and are not significantly correlated with the forthcoming announcements.","PeriodicalId":201359,"journal":{"name":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":"{\"title\":\"Are Order Imbalances Indicative of Private Information?\",\"authors\":\"Sukwon Thomas Kim, H. Stoll\",\"doi\":\"10.2139/ssrn.2022642\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Trading imbalances are often interpreted to be the result of informed trading. Yet imbalances may simply reflect random shocks or the results of liquidity trading. If trading imbalances reflect informed trading, they should anticipate major news events. Using announcements of earnings, acquisition targets, and seasoned equity offerings as our information events, we examine whether prior trading imbalances are related to the subsequent news. We conclude that imbalances do not well reflect the information held by informed traders. Trading imbalances do have price effects, but they are contemporaneous and are not significantly correlated with the forthcoming announcements.\",\"PeriodicalId\":201359,\"journal\":{\"name\":\"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal\",\"volume\":\"26 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"7\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2022642\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Microeconometric Models of Firm Behavior eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2022642","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Are Order Imbalances Indicative of Private Information?
Trading imbalances are often interpreted to be the result of informed trading. Yet imbalances may simply reflect random shocks or the results of liquidity trading. If trading imbalances reflect informed trading, they should anticipate major news events. Using announcements of earnings, acquisition targets, and seasoned equity offerings as our information events, we examine whether prior trading imbalances are related to the subsequent news. We conclude that imbalances do not well reflect the information held by informed traders. Trading imbalances do have price effects, but they are contemporaneous and are not significantly correlated with the forthcoming announcements.
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