Short-Lived Information and Order Strategies: A Clinical Study
Managerial Finance, Vol. 38, No. 2, pp. 143-164, 2012
44 Pages Posted: 26 Jan 2010 Last revised: 4 Feb 2012
Date Written: August 15, 2011
We examine investor order strategies in response to short-lived information using a natural experiment on September 8, 2008, in which a 2002 bankruptcy story on United Airlines erroneously reappears through Bloomberg terminals and cause significant price changes on the stock. Our results show that investors use intermarket sweep orders (ISOs), a unique type of liquidity-demanding limit orders, in attempts to exploit this information. In particular, those investors show aggressiveness not only in trade speed but also in trade size. These findings support the hypothesis that investors with short-lived information demand immediacy to conserve the value of their information and have important research and practical implications.
Keywords: Order strategies, market efficiency, intermarket sweep orders, UAL, UAUA
JEL Classification: G10, G14
Suggested Citation: Suggested Citation