Arbeitspapier
Market sidedness: Insights into motives for trade initiation
In this paper, we infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the numbers of buyerand seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one-sided prior to merger news. Consistent with belief heterogeneity, trading is more two-sided (1) before earnings and macro announcements with greater dispersions of analyst forecasts and (2) after earnings and macro news events with larger announcement surprises. A simultaneous equation system is used to examine the co-determinacy of sidedness, the bid-ask spread, volatility, the number of trades, and the order imbalance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 292
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Information and Market Efficiency; Event Studies; Insider Trading
Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
- Thema
-
sidedness, divergent beliefs, trade initiation, trading motives, earnings news, macro news
Ankündigungseffekt
Wertpapierhandel
Aktienmarkt
Marktmechanismus
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sarkar, Asani
Schwartz, Robert A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Sarkar, Asani
- Schwartz, Robert A.
- Federal Reserve Bank of New York
Entstanden
- 2007
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