Information, Trading, and Product Market Interactions: Cross‐sectional Implications of Informed Trading
构建了一个模型，分析知情交易者如何利用竞争对手的股票进行交易，并用759个盈利公告的日内数据验证了非公告公司股票订单流和回报对公告公司具有信息含量。
ABSTRACT I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information‐based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earnings announcements, I use intraday transactions data to test the hypothesis that net order flow and returns in the stocks of nonannouncing competitors have information content for announcing firms.