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Cited by 336

The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.

Do Prices Reveal the Presence of Informed Trading?

Open access
COLLIN‐DUFRESNE, PIERRE, FOS, VYACHESLAV·2015·The Journal of Finance
DOI 10.1111/jofi.12260
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Abstract

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though prices are positively impacted. Two channels help explain this phenomenon: (1) activists select times of higher liquidity when they trade, and (2) activists use limit orders. We conclude that, when informed traders can select when and how to trade, standard measures of adverse selection may fail to capture the presence of informed trading.

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Crossref · 10.1111/jofi.12260

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Metadata

Authors
COLLIN‐DUFRESNE, P., & FOS, V.
Venue
The Journal of Finance
Publisher
Wiley
Published
2015-07-23
Volume
70
Issue
4
Pages
1555-1582
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12260
OpenAlex
W3121539549
Cited by
336
References
36
FWCI
61.40
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Do Prices Reveal the Presence of Informed Trading? https://app.cochat.ai/papers/10.1111/jofi.12260
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COLLIN‐DUFRESNE, P., & FOS, V. (2015). Do Prices Reveal the Presence of Informed Trading? The Journal of Finance. https://doi.org/10.1111/jofi.12260

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.