Private information in trades, R2, and large stock price movements
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DOI: 10.1016/j.jbankfin.2021.106194
Abstract: Abstract We investigate the relations between trading-conveyed private information and stock return distributions. Using high-frequency measures of private information, we find that private information in trades is associated with lower stock return synchronicity. We also… read more here.
Keywords: stock price; information trades; private information; information ... See more keywords