We identify Industry-Neutral Self-Financed Informed Trading (INSFIT) by long only fund managers who possess a positive short-lived private signal and self finance informed stock purchases by selling an equivalent dollar amount of stock in the same industry. INSFIT, which constitutes less than 1%...

How does access to information affect price efficiency? We address this question by studying the stock ticker; a device that disseminated price changes to brokerage offices with a ticker subscription. We find that an increased number of ticker subscriptions in a state strengthened the return...

We show that wholesalers internalize unbalanced amounts of retail order flow to provide liquidity to institutional investors. The Tick Size Pilot highlights how wholesaler incentives affect the magnitude and composition of internalized retail trade imbalances (Mroib, Boehmer et al.\ 2021). Large...

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades...