Measuring the Information Content of Stock Trades
将证券交易与报价修订的互动建模为向量自回归系统，用交易创新的最终价格影响来衡量信息效应。基于纽交所样本发现：价格影响滞后且与交易规模正相关但递减，大交易扩大价差，价差大时交易影响更大，小公司信息不对称更显著。
ABSTRACT 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.