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dc.creatorGider, Jasmin
dc.creatorSchmickler, Simon
dc.creatorWestheide, Christian
dc.date.accessioned2021-09-28T09:37:29Z
dc.date.available2021-09-28T09:37:29Z
dc.date.issued2019-03-09
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2354
dc.description.abstractWe 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.isversionofhttps://fif.hebis.de/xmlui/handle/123456789/2353?248
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
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_rev_SSRN-id3349653
dc.identifier.safeno248_rev
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.topic1variable
dc.subject.topic1ebitda
dc.subject.topic1current
dc.subject.topic2define
dc.subject.topic2idiosyncratic
dc.subject.topic2daily
dc.subject.topic3study
dc.subject.topic3obvious
dc.subject.topic3singapore
dc.subject.topic1nameCorporate Finance
dc.subject.topic2nameSaving and Borrowing
dc.subject.topic3nameTrading and Pricing
dc.identifier.doi10.2139/ssrn.3349653


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