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Three essays on informed trading.

Zhang, Zhong.

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Three essays on informed trading.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Three essays on informed trading./
作者:	Zhang, Zhong.
面頁冊數:	103 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
Contained By:	Dissertation Abstracts International76-02A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3636700
ISBN:	9781321183580

Three essays on informed trading.
Zhang, Zhong.

Three essays on informed trading. - 103 p.

Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.

Thesis (Ph.D.)--Indiana University, 2014.

This item must not be sold to any third party vendors.

Informed trading incorporates private information into market prices and facilitates the information role of financial market. The mechanism of informed trading depends on market microstructure, in which the U.S. equity market has experienced significant changes since late 1990s. In this dissertation I explore informed trading in current stock market through three essays.

ISBN: 9781321183580Subjects--Topical Terms:

542899
Finance.

Three essays on informed trading.
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500 $a Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
500 $a Adviser: Craig W. Holden.
502 $a Thesis (Ph.D.)--Indiana University, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a Informed trading incorporates private information into market prices and facilitates the information role of financial market. The mechanism of informed trading depends on market microstructure, in which the U.S. equity market has experienced significant changes since late 1990s. In this dissertation I explore informed trading in current stock market through three essays.
520 $a My first essay documents significant evidence of informed liquidity provision in the post-decimalization U.S. stock market and provides explanation to why classic adverse selection measures are found to be unsuccessful in recent studies. Unlike the traditional intermediated market, in which informed traders can only demand liquidity from uninformed market makers, the modern limit order market makes liquidity provision a feasible option for every trader. Using intraday trade and quote data from 1995 to 2006, I find that informed traders shift from demanding liquidity to supplying liquidity. As informed liquidity provision complicates the informational implication of trade direction, adverse selection measures using trade direction as identification strategy are no longer logically correct. This issue asks for a trade direction independent measure of adverse selection in the limit order market.
520 $a My second essay proposes a new adverse selection measure that utilizes imbalance in submitted limit orders. As uninformed market makers have to adjust limit order submission according to the informed order flow, regardless of whether informed traders use limit or market order, we can observe a directionally correct imbalance in submitted limit orders caused by both market makers and informed traders. Using earnings announcements as the test ground, I find that price improving limit order imbalance is a strong predictor of announcement abnormal returns and it detects informed trading at least one day earlier than traditional market order imbalance.
520 $a The third essay examines the impact of Regulation Fair Disclosure (Reg FD) on informed trading employing the novel and unexplored setting of broker sponsored investor conferences. We employ the difference-in-difference analysis to investigate the impact of Reg FD on conference presenting firms' stock microstructure properties, comparing to non-presenting firms. Our results do not support the claim in the literature that Reg FD has been effective.
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