The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.
The Summary Informativeness of Stock Trades: An Econometric Analysis
Abstract
In a security market with asymmetrically informed participants, trades are signals of private information. In this article, new measures of trade informativeness are proposed based on a decomposition of the variance of changes in the efficient price into trade-correlated and -uncorrelated components. The trade-correlated component has a natural interpretation as an absolute measure of trade informativeness. The ratio of this component to the total variance is a relative measure (i.e., a proportion normalized with respect to the total public information). For a sample of NYSE-listed companies, trades are found to be more informative for small firms in both absolute and relative senses. From an analysis of intraday patterns, it appears that trades are in absolute terms more informative at the beginning of trading, but slightly less informative in relative terms.
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Citations
Cites
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Glosten, L. R., & Milgrom, P. R. (1985) · Journal of Financial Economics · doi:10.1016/0304-405x(85)90044-3 · Cited by 6,115
Trends and random walks in macroeconmic time series
Nelson, C. R., & Plosser, C. R. (1982) · Journal of Monetary Economics · doi:10.1016/0304-3932(82)90012-5 · Cited by 4,665
The theory and practice of econometrics
(1986) · Journal of Macroeconomics · doi:10.1016/0164-0704(86)90027-3 · Cited by 4,342
A leisurely look at the bootstrap, the jackknife, and cross-validation
Efron, B., & Gong, G. (1983) · The American Statistician · doi:10.1080/00031305.1983.10483087 · Cited by 3,229
Inferring Trade Direction from Intraday Data
LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
A Theory of Intraday Patterns: Volume and Price Variability
Admati, A. R., & Pfleiderer, P. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.3 · Cited by 3,119
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
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Price, trade size, and information in securities markets
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Cited by
Are Momentum Profits Robust to Trading Costs?
Korajczyk, R. A., & Sadka, R. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00656.x · Cited by 567
Do Prices Reveal the Presence of Informed Trading?
COLLIN‐DUFRESNE, P., & FOS, V. (2015) · The Journal of Finance · doi:10.1111/jofi.12260 · Cited by 336
Does Algorithmic Trading Reduce Information Acquisition?
Weller, B. M. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhx137 · Cited by 268
Metadata
- Authors
- Hasbrouck, J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1991-07
- Volume
- 4
- Issue
- 3
- Pages
- 571-595
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2026395376
- Cited by
- 537
- References
- 21
- FWCI
- 12.24
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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