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- W4385259538 endingPage "102464" @default.
- W4385259538 startingPage "102464" @default.
- W4385259538 abstract "We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and simple measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we obtain VCV from daily observations of trading volume and provide extensive evidence supporting the hypothesis that VCV indicates information asymmetry, by studying return reversals, institutional ownership, and extant firm-level measures of asymmetric information in the cross-section of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements and other information disclosures." @default.
- W4385259538 created "2023-07-26" @default.
- W4385259538 creator A5070712172 @default.
- W4385259538 creator A5088180428 @default.
- W4385259538 date "2023-10-01" @default.
- W4385259538 modified "2023-10-16" @default.
- W4385259538 title "Asymmetric information and the distribution of trading volume" @default.
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