Informed trading, information uncertainty, and price momentum
Chen, Yifan (2012) Informed trading, information uncertainty, and price momentum. Journal of Banking & Finance, 36 (7). pp. 2095-2109. ISSN 0378-4266
Full text is not in this repository.
Official URL: http://dx.doi.org/10.1016/j.jbankfin.2012.03.016
This item is available in the Library Catalogue
In this paper we investigate the effects of informed trading (PIN) and information uncertainty in determining price momentum. We find that trading strategies based on buying high-uncertainty good-news stocks and shorting high-uncertainty bad-news stocks work well when limited to high-PIN stocks, while stocks with low-PIN do not exhibit price continuations, even when the uncertainty level of those stocks is high. In contrast, momentum returns are always significant for high-PIN stocks, irrespective of information uncertainty. Overall, we show that the informed trading effect is both independent of and stronger than that of information uncertainty in determining price momentum.
|Research Areas:||School of Science and Technology > Design Engineering and Mathematics|
Business School > Economics and International Development
|Citations on ISI Web of Science:||0|
|Deposited On:||24 May 2012 08:21|
|Last Modified:||13 May 2014 15:47|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year