The implied intra-day probability of informed trading

Raman Kumar () and Marius Popescu ()

Review of Quantitative Finance and Accounting, 2014, vol. 42, issue 2, 357-371

Abstract: The paper develops a methodology for estimating the intra-day probability of informed trading for NYSE stocks, implied by the specialist’s quotes and depths. The time series pattern of our measure (PROBINF) in an intra-day analysis around earnings announcements is consistent with previous findings and with expectations regarding informed trading. Moreover, we find that PROBINF exhibits a strong and robust relationship with PIN, the level of insider trading and with measures of the price impact of trades. Our methodology complements the one developed in Easley et al. (J Financ 51(3):811–833, 1996a , J Financ 51(4):1405–1436, b ), as it can be used to measure short term changes in informed trading and information asymmetry around events such as merger and acquisition announcements, share repurchases, stock splits, dividend announcements and index additions and deletions. Copyright Springer Science+Business Media New York 2014

Keywords: Informed trading; Information asymmetry; Earnings announcements; Insider trading; G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11156-013-0345-0 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:42:y:2014:i:2:p:357-371

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-013-0345-0

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().