Measuring the Information Content of Stock Trades
提出用向量自回归系统度量交易的信息效应，发现交易对价格的完全影响存在滞后，且与交易规模呈正凸关系，大交易会扩大价差，信息不对称对小公司更显著。
This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.