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dc.creatorGider, Jasmin
dc.creatorSchmickler, Simon
dc.creatorWestheide, Christian
dc.date.accessioned2021-09-28T09:37:24Z
dc.date.available2021-09-28T09:37:24Z
dc.date.issued2019-03-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2353
dc.description.abstractWe 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.hasversionhttps://fif.hebis.de/xmlui/handle/123456789/2354?248_rev
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectCorporate Finance
dc.subjectFinancial Markets
dc.titleHigh-Frequency Trading and Price Informativeness
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1411?FDS
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1522?World Bank
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1376?Compustat
dc.source.filename248_SSRN-id3362372
dc.identifier.safeno248
dc.subject.keywordshigh-frequency trading
dc.subject.keywordsprice efficiency
dc.subject.keywordsinformation acquisition
dc.subject.keywordsinformation production
dc.subject.jelG10
dc.subject.jelG14
dc.subject.topic1firm
dc.subject.topic1longTerm
dc.subject.topic1current
dc.subject.topic2longer
dc.subject.topic2daily
dc.subject.topic2define
dc.subject.topic3sophisticated
dc.subject.topic3obvious
dc.subject.topic3singapore
dc.subject.topic1nameCorporate Finance
dc.subject.topic2nameSaving and Borrowing
dc.subject.topic3nameTrading and Pricing
dc.identifier.doidoi:10.2139/ssrn.3349653


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