Is It all Noise? The Microstructure Implications of Corporate Recurring Advertisements
研究重复广告引发的散户交易量如何影响股市波动、知情交易和价格冲击，发现广告日波动加大、知情交易更活跃但价格冲击反而降低。
Abstract This paper studies the market microstructure implications of uninformed trading volume. We capture uninformed volume using spikes in retail trading triggered by weekly advertisements (ads) in the Wall Street Journal that are largely duplicates. We report three findings. First, consistent with a positive volume-volatility relation, stock price volatility amplifies on recurring ad days. Second, informed investors time liquidity to trade more aggressively on recurring ad days. Third, despite the increase in informed trading on such days, price impact is lower, yielding a negative volume–price impact relation. Collectively, the evidence supports the theoretical predictions of Collin-Dufresne and Fos (2016).