Measuring the information content of stock trades：（衡量股票交易的信息内容）.pdfVIP

THE JOURNAL OF FINANCE VOL. XLVI, NO. 1 MARCH 1991 Measuring the Information Content of Stock Trades JOEL HASBROUCK* ABSTRACT This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trades information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trades 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. CENTRALTO THE ANALYSIS of market microstructure is the notion that in a market with asymmetrically informed agents, trades convey information and therefore cause a persistent impact on the security price. The magnitude of the price effect for a given trade size is generally held to be a positive function of the proportion of potentially informed traders in the population, the probability that such a trader is in fact informed (i.e., the probability that a private information signal has in fact been observed), and the preci- sion of the private information. The close dependence of the price impact on these factors, which may be referred to as the extent of the information asymmetry, provides a strong motivation for the empirical determination of this impact. This paper strives to achieve such a determination in a frame- work that is robust to deviations from