Order Flow Volatility and Equity Costs of Capital
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger announ...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
INFORMS Inst.for Operations Res.and the Management Sciences
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |