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SUMMARY:Cross-Sectional Identification of Informed Trading
DTSTART:20150501T120000
DTEND:20150501T130000
DTSTAMP:20260916T084547Z
UID:3e5f574a7ef592e73de119a2418ec3cf5bc68f4ca66ce143f113a944
CATEGORIES:Conferences - Seminars
DESCRIPTION:Dion BONGAERTS (Erasmus University\, Rotterdam School of Manag
 ement)\nWe propose a new approach to measuring informed trading in individ
 ual securities based on a portfolio optimization model for investors facin
 g information and liquidity shocks. These shocks induce speculative and li
 quidity-motivated order flow\, taking into account the price impact of tra
 ding. The model allows us to back out the amount of informed trading from 
 a security's aggregate order flow\, based on the cross-section of price im
 pact parameters and order imbalances (OIB). Furthermore\, we obtain a very
  simple expression for a security's aggregate private information shock\, 
 in excess of the same term for a benchmark security that is insulated from
  informed trading. We validate our private information measure (based on d
 aily data for all S&P 1500 stocks over 2001-2010) by showing that it is st
 rongly related to contemporaneous returns\, and that return reversals are 
 significantly weaker following stock-days with high private information es
 timates.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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