| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 960790 | Journal of Financial Intermediation | 2007 | 33 Pages |
Abstract
In this paper, we estimate and test a multi-period model of strategic informed trading developed by Foster and Viswanathan [Foster, F.-D., Viswanathan, S., 1996. Strategic trading when agents forecast the forecasts of others, J. Finance 51, 1437-1478]. We employ the GMM using intertemporal patterns of price, trading volume and market depth, leading up to the earnings announcements made by NYSE firms. We find that multiple informed traders with heterogeneous private signals trade prior to the announcements. In addition, by comparing the results from daily and intra-day estimations, we find that the number of informed traders increases while the intensity of liquidity trading decreases, and that the adverse selection problem becomes more pronounced as the announcements approach.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Strategy and Management
Authors
Jin-Wan Cho,