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Detail
ArtikelTrading Volume, Information Asymmetry, And Timing Information  
Oleh: Joon Chae
Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 1 (Feb. 2005), page 413-442.
Topik: trading volume; securities trading volume; financial reporting; behaviour; regression analysis; mathematical models; investors; studies
Fulltext: p 413.pdf (163.13KB)
Ketersediaan
  • Perpustakaan Pusat (Semanggi)
    • Nomor Panggil: JJ88
    • Non-tandon: 1 (dapat dipinjam: 0)
    • Tandon: tidak ada
    Lihat Detail Induk
Isi artikelThis paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. I investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements, implying that they extract timing information from their order books.
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