Using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange over seven years, we identify individual day traders (IDT) to be “noise traders”, who play an important role in market microstructure models in the literature.IDT contribute 10% to...

After insider trading regulations become stricter, insiders partially substitute trades in their own stocks with informed trades in peer stocks. Using a uniquely constructed dataset of trades by corporate insiders in all stocks, we find that insiders are 20% more likely to trade in peer stocks...

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

We characterize how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about (i) the timing of the announcement and (ii) its impact on stock prices. Our theoretical framework generates a rich set of predictions about the...