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| Tekijä: | Easley, D. |
| Otsikko: | Liquidity, information, and infrequently traded stocks |
| Lehti: | Journal of Finance
1996 : SEP, VOL. 51:4, p. 1405-1436 |
| Asiasana: | FINANCE INFORMATION LIQUIDITY |
| Kieli: | eng |
| Tiivistelmä: | This article investigates whether differences in information-based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, the authors estimate the risk of information-based trading for a sample of New York Stock Exchange (NYSE) listed stocks. The authors use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, and the depth of the market for different volume-decile stocks. |
SCIMA