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[연구]Earnings announcements, private information, and strategic informed trading
2007.01.01 Views 954 경영학연구분석센터
Journal of Financial Intermediation
Volume 16, Issue 1, January 2007, Pages 117–149
Jin-Wan Cho,
Korea University Business School, 5 Ka 1, Anam-Dong, Sungbuk-Ku, Seoul 136-701, South Korea
http://dx.doi.org/10.1016/j.jfi.2006.10.001
Abstract
In this paper, we estimate and test a multi-period model of strategic informed trading developed by Foster and Viswanathan [Foster, F.-D., Viswanathan, S., 1996. Strategic trading when agents forecast the forecasts of others, J. Finance 51, 1437–1478]. We employ the GMM using intertemporal patterns of price, trading volume and market depth, leading up to the earnings announcements made by NYSE firms. We find that multiple informed traders with heterogeneous private signals trade prior to the announcements. In addition, by comparing the results from daily and intra-day estimations, we find that the number of informed traders increases while the intensity of liquidity trading decreases, and that the adverse selection problem becomes more pronounced as the announcements approach.
Keywords
Market microstructure;
Strategic informed trading;
Earnings announcements;
Informed trading
Volume 16, Issue 1, January 2007, Pages 117–149
Jin-Wan Cho,
Korea University Business School, 5 Ka 1, Anam-Dong, Sungbuk-Ku, Seoul 136-701, South Korea
http://dx.doi.org/10.1016/j.jfi.2006.10.001
Abstract
In this paper, we estimate and test a multi-period model of strategic informed trading developed by Foster and Viswanathan [Foster, F.-D., Viswanathan, S., 1996. Strategic trading when agents forecast the forecasts of others, J. Finance 51, 1437–1478]. We employ the GMM using intertemporal patterns of price, trading volume and market depth, leading up to the earnings announcements made by NYSE firms. We find that multiple informed traders with heterogeneous private signals trade prior to the announcements. In addition, by comparing the results from daily and intra-day estimations, we find that the number of informed traders increases while the intensity of liquidity trading decreases, and that the adverse selection problem becomes more pronounced as the announcements approach.
Keywords
Market microstructure;
Strategic informed trading;
Earnings announcements;
Informed trading