Journal of Finance Vol. 46 No. 1 1991
Measuring the Information Content of Stock Trades.
Abstract
This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and information asymmetries are more significant for smaller firms.
- Volume
- 46
- Issue
- 1
- Pages
- 179-207
- Sources
- bibtex:phds-export.bib