INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME?
研究发现日内收益率呈U型模式，大额交易的价格变化也呈U型，而小额交易呈倒U型，原因是知情交易者在低成交量时拆分交易以隐藏信息，在高成交量时则增加交易规模。
Abstract Research documents a U‐shaped intraday pattern of returns. We examine which trade sizes drive the U‐shaped pattern and find that intraday price changes from larger trades exhibit a U‐shaped pattern whereas price changes from smaller trades show a reverse U‐shaped pattern. We argue that price changes from smaller trades are higher during the middle of the day because informed investors break up their trades to disguise their information when intraday volume is low. Price changes from larger trades are likely higher at the beginning and end of the day because high volume allows informed investors to increase their trade size without revealing their information to the market.