Trading on long-term information / by Corey Garriott and Ryan Riordan. : FB3-5/2020-20E-PDF
"Predatory trading discourages informed investors from gathering information and trading on it. However, using 11 years of equity trading data, we do not find evidence that informed investors are being discouraged. They have roughly constant volumes and profits through the sample. They are sophisticated, trading patiently over weeks and timing their trading to achieve negative price impacts, leaving price efficiency unchanged. We identify shorter-term traders and, in contrast to theory, find that they supply liquidity by trading in the opposite direction of the informed. Inefficient prices may be the result of informed investors' sophisticated trading and not of predatory short-term trading"--Abstract, page iii.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.888246&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | Trading on long-term information / by Corey Garriott and Ryan Riordan. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-20 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | Cover title. "Last updated: June 4, 2020." Includes bibliographical references (pages 33-35). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Auteur / Contributeur | Garriott, Corey, author. |
| Description | 1 online resource (iii, 54 pages) : graphs (mostly colour). |
| Numéro de catalogue |
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| Descripteurs | Stocks -- Canada. Investment analysis -- Canada. Insider trading in securities -- Canada. Actions (Titres de société) -- Canada. Analyse financière -- Canada. Opérations d'initié (Valeurs mobilières) -- Canada. |