Trading Against the Random Expiration of Private Information: A Natural Experiment
利用美国证监会意外提前向部分投资者披露证券信息这一自然实验，研究了私人信息随机到期时的知情交易行为，发现交易强度和价格吸收信息的速度随预期公开延迟增加而降低。
ABSTRACT For years, the Securities and Exchange Commission (SEC) accidentally distributed securities disclosures to some investors before the public. We exploit this setting, which is unique because the delay until public disclosure was exogenous and the private information window was well defined, to study informed trading with a random stopping time. Trading intensity and the pace at which prices incorporate information decrease with the expected delay until public release, but the relation between trading intensity and time elapsed varies with traders' learning process. Noise trading and relative information advantage play similar roles as in standard microstructure theories assuming a fixed time window.