Momentum and Informed Trading
We document that firm-specific informed trading is an important determinant of price momentum. The stronger return continuation in stocks with greater informed trading cannot be explained by cross-sectional differences in uncertainty proxies such as analyst forecast dispersion, analyst coverage, idiosyncratic return volatility, and size. The relationship between informed trading and return continuation is also not attributable to cross-sectional differences in liquidity. Furthermore, high turnover only leads to return continuation in stocks with high informed trading. In summary, our evidence emphasizes the critical role of price discovery in generating short-term price momentum.
Momentum Informed Trading Liquidity Uncertainty
Allaudeen Hameed Dong Hong Mitch Warachka
National University of Singapore NUS Business School, 1 Business Link, 117592, Singapore Singapore Management University ＃4056 L.K.C. School of Business, 50 Stamford Road, 178899, Singapore Singapore Management University #4055 L.K.C. School of Business, 50 Stamford Road, 178899, Singapore
国际会议
广州
英文
1-37
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）