Informed Trading and Portfolio Returns

DOI10.1093/RESTUD/RDS020zbMATH Open1405.91539OpenAlexW2137566200MaRDI QIDQ4610568FDOQ4610568

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

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

zbMATH Keywords

learninginformation asymmetrymarket efficiencystrategic trading

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (2)

• Market making with asymmetric information and inventory risk
• Shareholder disputes and commonality in liquidity: evidence from the equity markets in China

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