Liquidity, Information, and Infrequently Traded Stocks

Easley, David, et al
Authors registered in the RePEc Author Service: David Easley ()

Journal of Finance, 1996, vol. 51, issue 4, pages 1405-36

Abstract: This article investigates whether differences in information-based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, we estimate the risk of information-based trading for a sample of New York Stock Exchange (NYSE) listed stocks. The authors use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, and the depth of the market for different volume-decile stocks. Their most important empirical result is that the probability of information-based trading is lower for high volume stocks. Using regressions, we provide evidence of the economic importance of information-based trading on spreads. Coauthors are Nicholas M. Kiefer, Maureen O'Hara, and Joseph B. Paperman. Copyright 1996 by American Finance Association.

Date: 1996
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Working Paper: Liquidity, Information and Infrequently Traded Stock (1994)
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