文档介绍：The Summary
Informativeness of Stock
Trades: An Econometric
Analysis
Joel Hasbrouck
New York University
In a security market with asymmetrically informed
participants trades are signals of private infor-
mation. In this article, new measures of trade
informativeness are posed based on a -
position of the variance of changes in the efficient
price into trade-correlated and uncorrelated
components. The trade-ponent has
a natural interpretation as an absolute measure
of trade informativeness. The ratio of -
ponent to the total variance is a relative measure
(., a proportion normalized with respect to the
total public informtion). For a sample of NYSE-
panies, trades are found to be more
informative for small firms in both absolute and
relative senses. From an analysis of intraday pat-
terns, it appears that trades are in absolute terms
more informative at the beginning of trading, but
slightly less informative in relative terms.
This article describes an empirical assessment of trade
informativeness in a security market where agents
I am grateful to the editor and Duane Seppi (the referee) for numerous
suggestions. I have also benefited from ments of Kerry Back, Philip
Dybvig. Thomas e, Lawrence Glosten. Lawrence Harris, Ravi Jagana-
than, Steven Manaster, Maureen O’Hara, Timothy Opler, h Singleton,
and seminar participants at Rutgers- University, Ohio State University, Uni-
versity of Iowa. University of Oregon, University of Washington, Washington
University. and the Western Finance Association. I am especially indebted
to John Campbell for initially bringing the random-walk positon
techniques to my attention. All errors are my responsibility. Address reprint
requests to Joel Hasbrouck, Department of Finance, Leonard N. Stem School
of Business, New York University, 90 Trinity Place, New York, NY 10006.
The Review of Financial Studies 1991 Volume 4, number 3, pp. 571-595
1991 The Review of Financi