Publication Type
Conference Paper
Version
acceptedVersion
Publication Date
8-2008
Abstract
Consistent with the predictions of Wang (1994), we document that firm-specific informed trading is an important determinant of price momentum. The stronger return continuation in stocks with more informed trading cannot be explained by cross-sectional differences in uncertainty proxies such as analyst forecast dispersion, analyst coverage, idiosyncratic return volatility, and size. The relationship between informed trading and return continuation is also not attributable to cross-sectional differences in liquidity. Instead, our evidence emphasizes the role of price discovery in generating short-term price momentum.
Keywords
Momentum, Informed Trading, Liquidity, Uncertainty
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
European Finance Association Annual Meeting, Athens, 27-30 August 2008
City or Country
Athens, Greece
Citation
Hameed, A.; HONG, Dong; and Warachka, Mitchell Craig.
Momentum and Informed Trading. (2008). European Finance Association Annual Meeting, Athens, 27-30 August 2008.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1563
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.