---
title: Informed Trading Risk
url: https://www.ml-quant.com/papers/ssrn/4832251/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4832251
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4832251
featured: 2024-05-22
citations: unknown
topic: Trading, 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4832251
- Identifier: SSRN 4832251
- Released: 2024-02-02
- First featured: Quant Letter No. 50 (2024-05-22): https://www.ml-quant.com/issues/2024-05-22/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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