About this document
Estimating Private Information in Finance by mike.johnson is a document available to read on EtoBox.
The document discusses a model for estimating the probability and magnitude of private information in financial markets, focusing on adverse selection risk faced by liquidity suppliers. It employs a maximum-likelihood approach to analyze NYSE-listed stocks from 1993 to 2003, revealing insights into the price discovery process and the effects of Regulation FD on private information flow. The findings indicate that larger firms experience more frequent information events, and the model predicts future extreme
- Author
- mike.johnson
- Language
- EN