1 option
Informed Trading and Expected Returns / James J. Choi, Li Jin, Hongjun Yan.
- Format:
- Book
- Author/Creator:
- Choi, James J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18680.
- NBER working paper series no. w18680
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- Does information asymmetry affect the cross-section of expected stock returns? We explore this question using representative portfolio holdings data from the Shanghai Stock Exchange. We show that institutional investors have a strong information advantage, and that past aggressiveness of institutional trading in a stock positively predicts institutions' future information advantage in this stock. Sorting stocks on this predictor and controlling for other correlates of expected returns, we find that the top quintile's average annualized return in the next month is 10.8% higher than the bottom quintile's, indicating that information asymmetry increases expected returns.
- Notes:
- Print version record
- January 2013.
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