dc.creator | Gider, Jasmin | |
dc.creator | Schmickler, Simon | |
dc.creator | Westheide, Christian | |
dc.date.accessioned | 2021-09-28T09:37:24Z | |
dc.date.available | 2021-09-28T09:37:24Z | |
dc.date.issued | 2019-03-01 | |
dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/2353 | |
dc.description.abstract | We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence, market prices are a less reliable predictor of future cash flows and investment, even more so for longer horizons. Further, firm-level idiosyncratic volatility decreases, and the holdings and trades by institutional investors deviate less from the market-capitalization weighted portfolio as a benchmark. Our results document that the informativeness of prices decreases subsequent to the start of HFT. These findings are consistent with theoretical models of HFTs' ability to anticipate informed order flow, resulting in decreased incentives to acquire fundamental information. | |
dc.relation.hasversion | https://fif.hebis.de/xmlui/handle/123456789/2354?248_rev | |
dc.rights | Attribution-ShareAlike 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
dc.subject | Corporate Finance | |
dc.subject | Financial Markets | |
dc.title | High-Frequency Trading and Price Informativeness | |
dc.type | Working Paper | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1411?FDS | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1522?World Bank | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1376?Compustat | |
dc.source.filename | 248_SSRN-id3362372 | |
dc.identifier.safeno | 248 | |
dc.subject.keywords | high-frequency trading | |
dc.subject.keywords | price efficiency | |
dc.subject.keywords | information acquisition | |
dc.subject.keywords | information production | |
dc.subject.jel | G10 | |
dc.subject.jel | G14 | |
dc.subject.topic1 | firm | |
dc.subject.topic1 | longTerm | |
dc.subject.topic1 | current | |
dc.subject.topic2 | longer | |
dc.subject.topic2 | daily | |
dc.subject.topic2 | define | |
dc.subject.topic3 | sophisticated | |
dc.subject.topic3 | obvious | |
dc.subject.topic3 | singapore | |
dc.subject.topic1name | Corporate Finance | |
dc.subject.topic2name | Saving and Borrowing | |
dc.subject.topic3name | Trading and Pricing | |
dc.identifier.doi | doi:10.2139/ssrn.3349653 | |