Earnings announcements, private information, and strategic informed trading [An article from: Journal of Financial Intermediation]
by J.W. Cho
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Author: J.W. ChoEdition: Digital
Audio: English (Published)
Format: HTML
Published: 2007-01-01
ISBN: N/A
Publisher: Elsevier
Summary of Earnings announcements, private information, and strategic informed trading [An article from: Journal of Financial Intermediation]
This digital document is a journal article from Journal of Financial Intermediation, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.Description:
In this paper, we estimate and test a multi-period model of strategic informed trading developed by Foster and Viswanathan [Foster, F.-D., Viswanathan, S., 1996. Strategic trading when agents forecast the forecasts of others, J. Finance 51, 1437-1478]. We employ the GMM using intertemporal patterns of price, trading volume and market depth, leading up to the earnings announcements made by NYSE firms. We find that multiple informed traders with heterogeneous private signals trade prior to the announcements. In addition, by comparing the results from daily and intra-day estimations, we find that the number of informed traders increases while the intensity of liquidity trading decreases, and that the adverse selection problem becomes more pronounced as the announcements approach.
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