Publication Type

Conference Paper

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

Additional URL

http://ssrn.com/abstract=1013224

Share

COinS