Stealth trading and volatility
利用纽交所公司交易数据，发现虽然大部分交易规模较小，但股价累计变化主要由中等规模交易驱动，支持知情交易集中在中等规模交易、价格变动主要源于知情交易者私人信息的假说。
We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.