Asymmetric information and the distribution of trading volume

Lof, Matthijs; Bommel, Jos van

doi:10.1016/j.jcorpfin.2023.102464

Cited by 3 publications

(1 citation statement)

References 99 publications

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“…These impacts encompass reducing corporate excess perks [ 12 ], improving financial reporting quality [ 13 , 14 ], enhancing innovation capabilities [ 15 ], bolstering operational performance [ 16 , 17 ], and promoting social responsibility [ 18 ]. Previous studies also suggest that foreign investors effectively serve as supervisors in host country firms [ 19 ], contributing to greater information transparency [ 20 , 21 ] and more sustainable corporate governance mechanisms [ 22 ]. On the contrary, drawing upon the theory of comparative advantage, foreign shareholders are driven by profit-seeking motives.…”

Section: Literature Reviewmentioning

confidence: 99%

Foreign ownership, subjective willing, and internal control level

Yi,

Yao,

2024

Heliyon

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Section: Literature Reviewmentioning

confidence: 99%

Foreign ownership, subjective willing, and internal control level

Yi,

Yao,

2024

Heliyon

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Margin trading, short selling, and information asymmetry

Xu,

Zhang,

Zhang

2024

Journal of Financial Markets

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Identifying Information Types in the Estimation of Informed Trading: An Improved Algorithm

Ersan,

Ghachem

2024

JRFM

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The growing frequency of news arrivals, partly fueled by the proliferation of data sources, has made the assumptions of the classical probability of informed trading (PIN) model outdated. In particular, the model’s assumption of a single type of information event no longer reflects the complexity of modern financial markets, making the accurate detection of information types (layers) crucial for estimating the probability of informed trading. We propose a layer detection algorithm to accurately find the number of distinct information types within a dataset. It identifies the number of information layers by clustering order imbalances and examining their homogeneity using properly constructed confidence intervals for the Skellam distribution. We show that our algorithm manages to find the number of information layers with very high accuracy both when uninformed buyer and seller intensities are equal and when they differ from each other (i.e., between 86% and 95% accuracy rates). We work with more than 500,000 simulations of quarterly datasets with various characteristics and make a large set of robustness checks.

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Asymmetric information and the distribution of trading volume

Cited by 3 publications

References 99 publications

Foreign ownership, subjective willing, and internal control level

Foreign ownership, subjective willing, and internal control level

Margin trading, short selling, and information asymmetry

Identifying Information Types in the Estimation of Informed Trading: An Improved Algorithm

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