Trading Volume, Information Asymmetry, and Timing Information

By J. Chae. 2005

554 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cc9d56c52d9ecfec2f4ca572b7e6966ce8439263

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Citations in the corpus

Does Public Financial News Resolve Asymmetric Information (2010, background): “This article also contributes to a growing literature on the impact of public news releases, which includes Stickel and Verrecchia(1994),Pritamani and Singal (2001), Chan(2003), Chae(2005), Vega (2006), Chava and Tookes (2007), Gutierrez and Kelley(2008), andTetlock, Saar-Tsechansky, and Macskassy(2”
On the fast track: Information acquisition costs and information production (2020, background): “These control variables are the factors identified in prior studies to affect stock turnover (Chae 2005; and Lo and Wang 2006).”
Legal Insider Trading and Market Efficiency (2008, unknown): “Our approach is close to that of Chordia et al. (2005) in the sense that we measure the ‘contribution to market efficiency’ by the relationship between the return and the relative order imbalance.”
Information Networks: Evidence from Illegal Insider Trading Tips (2017, background): “Though many papers infer the presence of insider trading before corporate announcements based on price and volume run-ups ( Jarrell and Poulsen, 1989; Schwert, 1996; Chae, 2005; Christophe, Ferri and Hsieh, 2010 ), there is almost no evidence based on direct observations of insider trading. The exce”
The Role of the Business Press as an Information Intermediary (2010, unknown): “Thus, we perform Hausman tests of endogeneity.”
Market Reaction to Corporate Press Releases (2013, background): “…prior research has shown that the bid-ask spread may be unusually high just before the scheduled announcement due to high adverse selection in trading (e.g., Chae (2005), Graham, Koski, and Loewenstein (2006)), and we would like to focus exclusively on the post-announcement information environment.”
Disclosure Quality, Cost of Capital, and Investor Welfare (2008, unknown): “, Chae (2005)), showing the relevance of the post-disclosure trading in reality.”
Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets (2015, unknown): “We estimate the following specification: Rj,CP,t+T = β0, j,T + βT,CP,EQRj,EQ,t + βT,CP,CPRj,CP,t + εCP,t+T ,(2) where the dependent variable, Rj,CP,t+T , is the credit protection return for firm j over day t + T for T from 0 to 10 days.”
Does Asymmetric Information Drive Capital Structure Decisions (2009, unknown): “First, a burgeoning literature finds its constituents to be sensitive to a wide array of potentially informative corporate events (e.g., earnings, dividends, M&A, bankruptcy, or takeover announcements) and firm characteristics (e.g., opaqueness of assets, credit ratings, or ownership structure).”
Limited attention and the earnings announcement returns of past stock market winners (2010, unknown): “Their behavior contrasts with the documented pattern for overall volume, which, as expected, decreases before earnings announcements (see, for example, Chae (2005) ).”
Informed trading and price discovery before corporate events (2015, unknown): “To identify informed order flow, we employ a research design based on the methodology from Chae (2005), Graham, Koski, and Loewenstein (2006) , and Sarkar and Schwartz (2009) .”
Information linkages and correlated trading (2007, unknown): “We look at the behavior of volume and price impacts during two trading weeks before the announcement, as in other empirical investigations of this sort [e.g., Chae (2005)].”
Disagreement and Learning: Dynamic Patterns of Trade (2010, unknown): “Chae (2005) further documents that abnormal volume before an earnings announcement is low, but spikes on the announcement date and decreases slowly over the next few days.”
Jeopardy, Non-Public Information, and Insider Trading Around SEC 10-K and 10-Q Filings (2005, unknown): “Applying the logic in Foster and Viswanathan’s (1990) model of variation in interday trading volume, Chae (2005) suggests that un- informed traders avoid the period before the earnings announcement because informed traders, who have advance knowledge of the announcement, seek to profit from their…”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “…and McNichols 1989; Holthausen and Verrecchia 1990; Kim and Verrecchia 1991a, 1991b, 1994, 1997, 2001; Campbell, Grossman, and Wang 1993; Dontoh and Ronen 1993; Blume, Easley and O’Hara 1994; Demski and Feltham 1994; McNichols and Trueman 1994; Wang 1994; He and Wang 1995; Tkac 1999; Chae 2005).”