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• W2184004368 abstract "We estimate a structural model of strategic trader behavior that sheds light on the determinants of trading volume and stock returns. Our novel identification approach exploits enormous empirical variation in trading and volatility associated with the time of day and public news arrival. Over 95% of trading occurs during regular market hours (9:30am to 4pm), even though prices exhibit considerable volatility during extended hours, especially when news arrives. For the model to explain the data, discretionary liquidity trading must constitute the bulk of trading volume and must increase significantly after news arrives. However, from 2001 to 2010, informed trading increasingly contributes to volume and stock price discovery because our estimate of the cost of acquiring private information falls by a factor of 12 in this decade." @default.
• W2184004368 created "2016-06-24" @default.
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• W2184004368 date "2012-01-01" @default.
• W2184004368 modified "2023-09-24" @default.
• W2184004368 title "How (Un)Informed Is Trading" @default.
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• W2184004368 hasPublicationYear "2012" @default.
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