High-Frequency Measures of Informed Trading and Corporate Announcements
通过计算每日知情买入和卖出的后验概率，研究了并购、股利、增发和季报公告前后知情交易的动态，发现公告前知情交易已将部分信息融入股价，且公告后知情交易概率能预测后续结果。
We explore the dynamics of informed trading around corporate announcements of merger bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior probabilities of informed buying and selling. We find evidence of informed trading before the announcements and a significant part of the news in announcements is impounded in stock prices before the announcements by pre-event informed trading. We also find evidence of informed trading after the announcements. Most strikingly, the probability of informed trading after merger bids predicts the probability of the bid being withdrawn or met with a competing bid. For other announcements, post-announcement informed-trading probabilities predict subsequent returns. Received September 26, 2016; editorial decision December 17, 2017 by Editor Andrew Karolyi.