SSRNTrading, Microstructure & Execution
Informed Trading Risk
The research uses abnormal undercutting activity to measure informed trading risk, finding it predicts imminent information events and positively predicts stock returns up to six months forward, especially for stocks with tight short sale constraints.
Featured in No. 50 on 22 May 2024 ·
- Released
- 2 Feb 2024
- First featured
- No. 50 · 22 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 192
- Identifier
- SSRN 4832251
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