Asymmetric information and the distribution of trading volume

被引：4

作者：

Lof, Matthijs ^{[1
]}

van Bommel, Jos ^{[2
]}

机构：

[1] Aalto Univ, Sch Business, POB 21210, Aalto 00076, Finland

[2] Univ Luxembourg, 6 Rue Richard Coudenhove Kalergi, L-1359 Luxembourg, Luxembourg

来源：

JOURNAL OF CORPORATE FINANCE | 2023年 / 82卷

关键词：

VCV; Trading volume; Informed trading; Information asymmetry; BID-ASK SPREAD; INSTITUTIONAL INVESTORS; DISCLOSURE; OWNERSHIP; LIQUIDITY; EARNINGS; ANALYST; PROBABILITY; COVERAGE; QUALITY;

D O I：

10.1016/j.jcorpfin.2023.102464

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and simple measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we obtain VCV from daily observations of trading volume and provide extensive evidence supporting the hypothesis that VCV indicates information asymmetry, by studying return reversals, institutional ownership, and extant firm level measures of asymmetric information in the cross-section of US stocks. Moreover, VCV increases following exogenous reductions in analyst coverage induced by brokerage closures, and steeply decreases around earnings announcements and other information disclosures.

引用

页数：20