Informed trading, information uncertainty, and price momentum

Article

Chen, Y. 2012. Informed trading, information uncertainty, and price momentum. Journal of Banking and Finance. 36 (7), pp. 2095-2109. https://doi.org/10.1016/j.jbankfin.2012.03.016
TypeArticle
TitleInformed trading, information uncertainty, and price momentum
AuthorsChen, Y.
Abstract

In this paper we investigate the effects of informed trading (PIN) and information uncertainty in determining
price momentum. We find that trading strategies based on buying high-uncertainty good-news stocks and shorting high-uncertainty bad-news stocks work well when limited to high-PIN stocks, while stocks with low-PIN do not exhibit price continuations, even when the uncertainty level of those stocks is high. In contrast, momentum returns are always significant for high-PIN stocks, irrespective of information uncertainty. Overall, we show that the informed trading effect is both independent of and stronger than that of information uncertainty in determining price momentum.

PublisherEmerald Group Publishing Limited
JournalJournal of Banking and Finance
ISSN0378-4266
Publication dates
Print24 Mar 2012
Publication process dates
Deposited24 May 2012
Output statusPublished
Additional information

Print edition is July 2012.

Digital Object Identifier (DOI)https://doi.org/10.1016/j.jbankfin.2012.03.016
LanguageEnglish
Permalink -

https://repository.mdx.ac.uk/item/83q7z

Log in to edit
  • 28
    total views
  • 0
    total downloads
  • 0
    views this month
  • 0
    downloads this month

Export as