Abstract

http://ssrn.com/abstract=7881
 
 

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Liquidity, Information, and Infrequently Traded Stocks


David Easley


Cornell University - Department of Economics

Nicholas M. Kiefer


Cornell University

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

Joseph B. Paperman


Cornell University


J. OF FINANCE, Vol. 51 No. 4, September 1996

Abstract:     
This paper investigates whether differences in information- based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, we estimate the risk of information- based trading for a sample of NYSE listed stocks. We use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, and the depth of the market for different volume-decile stocks. Our most important empirical result is that the probability of information-based trading is lower for high volume stocks. Using regressions, we provide evidence of the economic importance of information-based trading on spreads.

JEL Classification: G14

Accepted Paper Series


Not Available For Download

Date posted: November 6, 1996  

Suggested Citation

Easley, David and Kiefer, Nicholas M. and O'Hara, Maureen and Paperman, Joseph B., Liquidity, Information, and Infrequently Traded Stocks. J. OF FINANCE, Vol. 51 No. 4, September 1996. Available at SSRN: http://ssrn.com/abstract=7881

Contact Information

David Easley
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Nicholas M. Kiefer
Cornell University ( email )
Building 350
Ithaca, NY 14853
United States
607-255-6315 (Phone)
607-539-6366 (Fax)
Maureen O'Hara (Contact Author)
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
Joseph B. Paperman
Cornell University ( email )
Ithaca, NY 14853
United States
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