English, Article, Journal or magazine article edition: Buy on Rumours - Sell on News: A Manipulative Trading Strategy Markus K Brunnermeier

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/45551
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Buy on Rumours - Sell on News: A Manipulative Trading Strategy
Author
  • Markus K Brunnermeier
Physical Description
  • preprint
Notes
  • A trader who receives a signal about a future public announcement can exploit this private information twice. First, when he receives his signal, and second, at the time of the public announcement. The second round advantage occurs because the early-informed trader can best infer the extent to which his information is already reflected in the current price. This paper shows that early-informed traders trade very aggressively at the time they receive their signal. They try to manipulate the price in order to enhance their informational advantage at the time of the public announcement. In addition, they speculate by building up a position in period one, which they partially unwind on average in period tow. The analysis shows that informational leakage makes prices prior to public announcements more informative but reduces informational efficiency in the long run.
  • RePEc:fmg:fmgdps:dp309
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment