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Measuring the Information Content of Stock Trades

Measuring the Information Content of Stock Trades,Joel Hasbrouck

Measuring the Information Content of Stock Trades   (Citations: 563)
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This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and information asymmetries are more significant for smaller firms. Copyright 1991 by American Finance Association.
Published in 1991.
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