Trading Volume, Information Asymmetry, and Timing Information
研究计划内和计划外公司公告前后的交易量变化，发现计划内公告前交易量随信息不对称程度增加而下降，而计划外公告前交易量则大幅上升，做市商通过提高价格敏感度从订单簿中提取时机信息。
ABSTRACT This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. I investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements, implying that they extract timing information from their order books.