dc.creator | Gider, Jasmin | |
dc.creator | Schmickler, Simon | |
dc.creator | Westheide, Christian | |
dc.date.accessioned | 2021-09-28T09:37:29Z | |
dc.date.available | 2021-09-28T09:37:29Z | |
dc.date.issued | 2019-03-09 | |
dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/2354 | |
dc.description.abstract | We study how stock price informativeness 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, idiosyncratic volatility decreases, mutual funds trade less actively and their holdings deviate less from the market-capitalization weighted portfolio. These findings suggest that price informativeness declines with HFT presence, consistent with theoretical models of HFTs' ability to anticipate informed order flow, reducing incentives to acquire fundamental information. | |
dc.relation.isversionof | https://fif.hebis.de/xmlui/handle/123456789/2353?248 | |
dc.rights | Attribution-ShareAlike 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
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_rev_SSRN-id3349653 | |
dc.identifier.safeno | 248_rev | |
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 | variable | |
dc.subject.topic1 | ebitda | |
dc.subject.topic1 | current | |
dc.subject.topic2 | define | |
dc.subject.topic2 | idiosyncratic | |
dc.subject.topic2 | daily | |
dc.subject.topic3 | study | |
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 | 10.2139/ssrn.3349653 | |