An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock
分析1984年雀巢收购卡内森前三个月，伊万·博斯基基于内幕信息交易1.7百万股卡内森股票对股价、买卖价差和买卖深度的影响，发现其交易与股价变化正相关，但价差和深度未受负面影响。
During the three-month period prior to the acquisition of Carnation by Nestle in 1984, Ivan Boesky purchased 1.7 million shares of Carnation’s stock on the basis of illegally obtained inside information. Detailed records of Boesky’s trades permit us to examine the relation between his trading and Carnation’s stock price, bid/ask spread, and bid and ask depth. We find a positive and significant relation between Boesky’s trades and stock price changes, but bid/ask spreads appear to be unaffected, and depths appear to be unaffected or improved by his trades.