Public Disclosure of Insider Trades, Trading Costs, and Price Discovery

1998 ◽  
Author(s):  
Steven J. Huddart ◽  
John S. Hughes ◽  
Carolyn B. Levine
Keyword(s):  
Price Discovery ◽  
Public Disclosure ◽  
Trading Costs ◽  
Insider Trades

scholarly journals Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application

2021 ◽  
pp. 21-49
Author(s):  
Deniz Ozenbas ◽  
Michael S. Pagano ◽  
Robert A. Schwartz ◽  
Bruce W. Weber
Keyword(s):  
Market Structure ◽  
Price Discovery ◽  
Investment Decision ◽  
Equity Markets ◽  
Regulatory Environment ◽  
Trading Costs ◽  
Price Determination ◽  
Liquidity Trading ◽  
Portfolio Decision ◽  
Structure Regulation

AbstractTrading is the implementation of an investment decision. After a portfolio decision has been made by a portfolio manager, it must be implemented, and especially for handling large orders and navigating stressful markets, specific skills and responsibilities are needed that require the expertise of a professional trader. However, the efficiency with which orders are handled and turned into trades depends, not just on traders’ abilities, but also on a market’s liquidity, on the design of the marketplace where shares are traded, and on the regulatory environment. In this chapter, we cover trading costs, liquidity, volatility, price discovery, market structure, and market structure regulation.

Public Disclosure and Dissimulation of Insider Trades

2000 ◽  
Author(s):  
Steven J. Huddart ◽  
John S. Hughes ◽  
Carolyn B. Levine
Keyword(s):  
Public Disclosure ◽  
Insider Trades

Price Discovery and Trading Costs After Hours

2000 ◽  
Author(s):  
Michael J. Barclay ◽  
Terrence Hendershott
Keyword(s):  
Price Discovery ◽  
Trading Costs ◽  
After Hours

scholarly journals Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds

2020 ◽  
Vol 13 (6) ◽  
pp. 118
Author(s):  
Doureige Jurdi
Keyword(s):  
Information Asymmetry ◽  
Market Microstructure ◽  
Price Discovery ◽  
Exchange Traded Funds ◽  
Trading Costs ◽  
Microstructure Noise ◽  
Trading Activity ◽  
Macroeconomic News ◽  
Jump Detection ◽  
The Impact

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs.

The Role of Private Disclosures in Markets with Weak Institutions: Evidence from Market Liberalization in China

2020 ◽  
Author(s):  
Aaron S. Yoon
Keyword(s):  
Price Discovery ◽  
Pilot Program ◽  
Public Disclosure ◽  
Market Liberalization ◽  
Chinese Firms ◽  
Foreign Investors ◽  
Track Record ◽  
Weak Institutions ◽  
Private Disclosure

I use the announcement of a market liberalization pilot program in China as a shock to firms' disclosure environment and examine how the Chinese firms, foreign investors, and foreign brokers respond. Using a proprietary dataset, I find that affected firms respond to announcement by significantly increasing the number of selective private meetings hosted by major foreign brokers, but do not use public disclosure channels. I find this increase in private disclosure to be stronger among firms that had strong public disclosure track record and are in need of capital. Firms that increased private disclosure experience improvements in speed of price discovery and liquidity. In addition, they also experience an increase in foreign holdings and raise capital abroad through foreign brokers after the pilot program's implementation. Overall, this paper takes a yet-to-mature economy, presents evidence on dynamic shaping of disclosure, and highlights private disclosure as an important positive channel of communication.

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