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Journal of Financial and Quantitative Analysis Vol. 60 No. 6 2025

Is It all Noise? The Microstructure Implications of Corporate Recurring Advertisements

Vivian W. Fang1; Joshua Madsen2; Xinyuan Shao3

1 Indiana University Kelley School of Business and European Corporate Governance Institute · 2 University of Minnesota Carlson School of Management · 3 Chinese University of Hong Kong School of Accountancy

Abstract

This paper studies the market microstructure implications of uninformed trading volume. We capture uninformed volume using spikes in retail trading triggered by weekly advertisements (ads) in the Wall Street Journal that are largely duplicates. We report three findings. First, consistent with a positive volume-volatility relation, stock price volatility amplifies on recurring ad days. Second, informed investors time liquidity to trade more aggressively on recurring ad days. Third, despite the increase in informed trading on such days, price impact is lower, yielding a negative volume–price impact relation. Collectively, the evidence supports the theoretical predictions of Collin-Dufresne and Fos (2016).

DOI
10.1017/s0022109024000814
Volume
60
Issue
6
Pages
2788-2818
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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