Brand Innovation and Informed Trading

57 Pages Posted: 16 Oct 2019

See all articles by Seung-Oh Han

Seung-Oh Han

State University of New York (SUNY) - Buffalo

Po-Hsuan Hsu

National Tsing Hua University - Department of Quantitative Finance

Sahn-Wook Huh

State University of New York (SUNY) - Department of Finance

Date Written: October 7, 2019

Abstract

After constructing high-frequency measures of informed trading as well as the measure of brand innovation proxied by the number of trademark registrations (TMRs), we first examine how market participants respond to the news about TMRs. The results show that the information on TMRs predicts subsequent stock returns, implying the value-relevance of TMRs. We then provide evidence that investors attempt to capitalize on such information in the financial market. The analyses with the posterior probabilities of informed trading and the directional price impacts suggest that market participants interpret more TMRs as good news, which in turn triggers informed buying. A series of robustness tests confirm that the results are consistent with our main arguments.

Keywords: Trademark Registrations; Brand Innovation; Informed Trading; Price Impacts; Posterior Probability of Informed Buying and Selling; Directional Price Impacts

JEL Classification: E22; G12; G14; O34

Suggested Citation

Han, Seung-Oh and Hsu, Po-Hsuan and Huh, Sahn-Wook, Brand Innovation and Informed Trading (October 7, 2019). Available at SSRN: https://ssrn.com/abstract=3465304 or http://dx.doi.org/10.2139/ssrn.3465304

Seung-Oh Han

State University of New York (SUNY) - Buffalo ( email )

12 Capen Hall
Buffalo, NY 14260
United States

Po-Hsuan Hsu

National Tsing Hua University - Department of Quantitative Finance ( email )

101, Section 2, Kuang-Fu Road
Hsinchu, Taiwan 300
China

Sahn-Wook Huh (Contact Author)

State University of New York (SUNY) - Department of Finance ( email )

347 Jacobs Management Center
Buffalo, 14260-4000
United States
716-645-5435 (Phone)
716-645-3823 (Fax)

HOME PAGE: http://www.acsu.buffalo.edu/~swhuh/

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