Market Sidedness: Insights into Motives for Trade Initiation
通过市场单边性推断交易发起动机，发现并购新闻前交易更单边（信息不对称），盈利和宏观公告前交易更双边（信念异质性），并分析了单边性与价差、波动率等的关系。
ABSTRACT We infer motives for trade initiation from market sidedness. We define trading as more two‐sided (one‐sided) if the correlation between the number of buyer‐ and seller‐initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one‐sided before merger news. Consistent with belief heterogeneity, trading is more two‐sided before earnings and macro announcements with greater dispersion in analyst forecasts, and after news with larger announcement surprises. We examine the codeterminacy of sidedness, bid‐ask spread, volatility, number of trades, and order imbalance.