Do Prices Reveal the Presence of Informed Trading
作者： Vyacheslav Fos , Vyacheslav Fos , Pierre Collin-Dufresne , Pierre Collin-Dufresne , Pierre Collin-Dufresne
DOI: 10.2139/SSRN.2023629
关键词:
摘要: Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures adverse selection respond to informed trading. We find that on days when activists accumulate shares, and stock illiquidity are lower, even though prices positively impacted. Two channels help explain this phenomenon: (a) select times higher liquidity they trade, (b) use limit orders. conclude traders can standard may fail capture the presence
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