Anonymity, stealth trading, and the information content of broker identity

Alex Frino, David Johnstone, Hui Zheng

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)

Abstract

This research is funded by the Capital Markets Cooperative Research Centre. The authors would like to thank the Australian Stock Exchange for the provision of data and the Securities Industry Research Centre of Asia Pacific for technical assistance. Work on this paper commenced while Frino was a Fulbright Senior Scholar at the Commodity Futures Trading Commission. This paper has benefited from seminars held at the Australian National University, Cambridge University, Commodity Futures Trading Commission, Cornell University, Georgetown University, Hong Kong Baptist University, Melbourne University, The University of Memphis, The University of Sydney, Universita di Napoli Federico II, Universita di Salerno and Virginia University. Specifically, we gratefully acknowledge the comments of Tom McInish, Maureen O’Hara, Bob Wood, and an anonymous reviewer who helped improve the paper.
Original languageEnglish
Pages (from-to)501-522
Number of pages22
JournalFinancial Review (Statesboro)
Volume45
Issue number3
DOIs
Publication statusPublished - 2010
Externally publishedYes

Keywords

  • market anonymity
  • asymmetric information
  • price impact
  • stealth trading

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