Cross-Sectional Identification of Private Information

Dion Bongaerts, Dominik Rösch and Mathijs van Dijk

The Review of Asset Pricing Studies, 2026, vol. 16, issue 1, 1-49

Abstract: We propose a new private information measure based on a model of strategic trade optimization in the cross section of securities. Investors receive liquidity and private information shocks and optimize trading across securities, accounting for price impact (Kyle’s λ). The model yields a simple private information measure: λ×OIB (order imbalance). Intuitively, order imbalance is more likely to be information-driven when trading is expensive. We validate our measure by showing that it is greater for smaller firms with higher analyst dispersion, peaks with insider trades, helps explain return reversals, predicts return volatility, and increases before M&A announcements and after analyst coverage terminations. (JEL G11, G12, G14)

Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1093/rapstu/raaf009 (application/pdf)
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:oup:rasset:v:16:y:2026:i:1:p:1-49.

Access Statistics for this article

The Review of Asset Pricing Studies is currently edited by Zhiguo He

More articles in The Review of Asset Pricing Studies from Society for Financial Studies
Bibliographic data for series maintained by Oxford University Press ().