Informed Trading and Portfolio Returns

DOI10.1093/RESTUD/RDS020MaRDI QIDQ4610568zbMATH OpenOpenAlexFDO

Authors Alex Boulatov, Terrence Hendershott, Dmitry Livdan

Publication date 23 January 2019

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/6832e02998f43df48cef402ee82fc8e3638b6289

zbMATH Keywords

information asymmetrylearningmarket efficiencystrategic trading

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Informed trading, market efficiency and volatility
• Informed traders
• Informed traders
• Profitable informed trading in a simple general equilibrium model of asset pricing
• The value of information for optimal portfolio management
• Trading on marginal information
• Improvements in estimating the probability of informed trading models
• Portfolio trading
• Informed traders' hedging with news arrivals

Cited in

(5)

• Shareholder disputes and commonality in liquidity: evidence from the equity markets in China
• Market making with asymmetric information and inventory risk
• Strategic cross-trading in the U.S. stock market
• Informed trading and momentum in the corporate bond market
• The nexus of overnight trend and asset prices in China

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