Do Prices Reveal the Presence of Informed Trading?
利用激进投资者提交的Schedule 13D交易数据，研究发现知情交易期间逆向选择指标和股票非流动性反而降低，原因是知情者选择高流动性时段并使用限价单。
ABSTRACT Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though prices are positively impacted. Two channels help explain this phenomenon: (1) activists select times of higher liquidity when they trade, and (2) activists use limit orders. We conclude that, when informed traders can select when and how to trade, standard measures of adverse selection may fail to capture the presence of informed trading.