Footnote:
In: International Review of Business Research Papers, Vol. 6, No. 3, p. 106, August 2010
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2010 erstellt
Description:
The paper investigates the stylized fact, addressed in several prior studies, that large-cap firms may have a lower probability of informed trading. Using 30 million intraday trades, daily trades, and firm accounting data of sample firms listed on the Stock Exchange of Thailand (SET), the paper finds an opposing pattern for the sample firms in Thailand, showing that large firms have a higher probability of informed trading. The paper also suggests that a clientele effect could be one potential explanation for this finding. Consistent with this conjecture, the paper finds those large firms tend to have high stock prices, and that stocks with high prices have a high probability of informed trading. This is because the monotonic positive relation between firm size and share price may repel uninformed investors, who are usually individual traders, from investing in these large firms, which usually have higher stock prices. In contrast, informed investors, who are often institutional investors, may be inclined to invest in these large firms