| dc.contributor | 財管系 | |
| dc.creator (作者) | 張元晨 | |
| dc.creator (作者) | Chang, Yuanchen | |
| dc.creator (作者) | Wu, Weishao | |
| dc.creator (作者) | Liu, Wenchien | |
| dc.creator (作者) | Suardi, Sandy | |
| dc.date (日期) | 2019-08 | |
| dc.date.accessioned | 21-一月-2021 09:47:06 (UTC+8) | - |
| dc.date.available | 21-一月-2021 09:47:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-一月-2021 09:47:06 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/133653 | - |
| dc.description.abstract (摘要) | This paper studies market microstructure implications of informed high‐frequency traders (HFTs) from two seconds of advance peek into the Michigan Index of Consumer Sentiment (ICS), provided by Thomson Reuters to its elite customers. Using individual stocks in the NASDAQ data set, we show how HFTs trade around ICS events. We find that liquidity demanders during two seconds of advance peek earn substantive profits, which are consistent with the notion that HFTs’ informational advantages may increase adverse selection costs for other market participants. This evidence elucidates the debate on regulatory oversight and its role in circumventing the potentially adverse effects from an advance peek into ICS. | |
| dc.format.extent | 383483 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Financial Review, Vol.54, pp.541-582 | |
| dc.subject (關鍵詞) | informed trading ; high-frequency traders ; advance peek ; information efficiency ; price discovery | |
| dc.title (題名) | Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1111/fire.12184 | |
| dc.doi.uri (DOI) | https://doi.org/10.1111/fire.12184 | |
