Market Sidedness: Insights into Motives for Trade Initiation

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.

Option trading: Information or differences of opinion?

“…The regression analyses employ four proxies for information asymmetry and four for differences of opinion. For information asymmetry, the proxies are firm size (Atiase, 1985), PIN (Easley et al, 1996), stock bid-ask spread and option bid-ask spread (Copeland and Galai, 1983;Glosten and Milgrom, 1985); for differences of opinion, the proxies are stock return volatility (Shalen, 1993), dispersion of earnings forecasts (Diether et al, 2002), sidedness (Sarkar and Schwartz, 2009) and the number of analysts following the firm.…”

“…Kandel and Pearson (1995) offer evidence of extensive trading around earnings announcements due to differential opinions. Numerous other authors are also able to explain trading in various contexts based on opinion dispersion (e.g., Bessembinder et al, 1996;Bamber et al, 1999;Diether et al, 2002;Hong and Stein, 2006;Chordia et al, 2007;Sarkar and Schwartz, 2009). The empirical evidence for the stock market in its entirety seems to suggest that there is both informed trading and trading based on differences of opinion.…”

Mutual Funds and Information Diffusion: The Role of Country-Level Governance

“…Differential processing of information (e.g., Kim and Verrecchia 1994) is known to affect information asymmetry and market conditions following the announcement of macro news (Green, 2004) and corporate news (e.g., Lee et al, 1993, Krinsky and Lee 1996, Madureira and Underwood 2008, Sarkar and Schwartz 2009. Its impact may even be extended to the effectiveness of regulations (Bailey et al, 2003).…”

Order revelation at market openings

“…See also Klemperer and Meyer's (1989) analysis of supply function equilibria in one-sided oligopolistic markets. Sarkar and Schwartz (2009) provide an empirical analysis of a market's ''sidedness'' in terms of buyer-versus seller-initiated trades.…”