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Mutual fund trades and the value of contradictory private information

✍ Scribed by Grant Cullen; Dominic Gasbarro; Gary S. Monroe

Book ID
116615462
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
218 KB
Volume
34
Category
Article
ISSN
0378-4266

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Inferring the private information conten
Inferring the private information content of trades: a regime-switching approach
✍ Ken Nyholm πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 112 KB

## Abstract This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade‐indicator model of Glosten and Harris (1988) is extended to a two‐state regime‐switching setting, and the model is estimated using tick‐by‐tick data from th