haku: @journal_id 1385 / yhteensä: 458
viite: 25 / 458
| Tekijä: | Barron, O.E. Karpoff, J.M. |
| Otsikko: | Information precision, transaction costs, and trading volume |
| Lehti: | Journal of Banking and Finance
2004 : JUN, VOL. 28:6, p. 1207-1223 |
| Asiasana: | Financial markets Information Transaction costs Trading Models |
| Kieli: | eng |
| Tiivistelmä: | Most theoretical models of trade imply that the trading volume (hereafter as: t-vol.) prompted by a public announcement (hereafter as: p-ann.) is positively related to the p-ann.'s precision. Relying on this notion, empirical researchers interpret high t-vol. as an indication that an p-ann. is highly informative. This paper argues that such interpretations are not, in general, correct. With transaction costs, the relation btw. information precision and t-vol. is ambiguous and can be negative. This explains why, in empirical tests using data from actual markets, the relation btw. p-ann. precision and t-vol. is not monotonically positive, even though in laboratory experiments it is. This paper's results imply that t-vol. reactions to p-ann.s are most sensitive to announcement precision among low-transaction cost securities and in low-cost trading regimes. |
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