The Relationship between the Information Content of Trades and Frequency of Public Information Release: Mediating Effects of Informed and Uninformed Trading

摘要：

In this paper, we empirically document that the information content of trades in firms with more frequent public information release is lower on average. We further show that both informed and uninformed traders trade more in firms with more frequent public release. However, the trading by uninformed traders is of a greater order of magnitude than the trading by informed traders. This has the effect of reducing the information content of trades in firms with more frequent public releases. Our findings highlight the important role of public information in leveling the playing field for all investors.

关键词： Public information information content of trades PIN

作者: Srinivasan Sankaraguruswamy Jianfeng Shen Takeshi Yamada

作者单位: Department of Finance and Accounting,NUS Business School,National University of Singapore.Correspond Department of Finance and Accounting,NUS Business School,National University of Singapore

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）