Probability of informed trading around scheduled and unscheduled corporate announcements
This thesis examines how public announcement events with different characteristics affect the probability of informed trading (PI). Using the Bollen, Smith and Whaley (2004) model of inferring PI directly from trades, we investigate the differences in PI between the pre-announcement period and post-announcement period from 2002 to 2008 in the American stock market along two dimensions: whether announcements are scheduled; and other characteristics related to the content such as payment methods,...[Show more]
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