Gilbert, Aaron; Tourani Rad, Alireza; Wisniewski, … - Wirtschaftswissenschaftliche Fakultät, … - 2005
As was establihed in Llorenteetal (2001) the dynamic relationship between return and volume is a function of information asymmetry. This study extends their analysis by linking the volume induced return auto correlarion coefficients with the level of disclosed insider trading. Using New Zealand...