Informed Trading Reactions to New Private Information: Evidence from Nonpublic Merger Negotiations
利用美国证券交易委员会强制披露的数据，研究知情投资者是否会在新私有信息产生后立即交易，并分析影响其交易反应速度的因素，对理解市场信息效率有参考价值。
Theory provides competing predictions on whether informed investors immediately trade on newly generated private information. We address this question using Securities and Exchange Commission–mandated disclosures to identify the dates when new private information about target or acquiring firm value is created. We find that informed investors immediately trade on new private information in both the stock and options markets. Next, we investigate which factors drive the speed of these investors’ trading reactions to newly generated private information. We show that cross-sectional variation in the speed of their trading reactions can be explained by the number of privately informed investors, institutional ownership, the expected profits from informed trading and associated risk of attracting the attention of enforcement agencies, and the existence of public information about the acquisition deal. This paper was accepted by David Simchi-Levi, finance.