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Anonymity, Stealth Trading, and the Information Content of Broker Identity

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  • Alex Frino
  • David Johnstone
  • Hui Zheng
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    Abstract

    This paper examines whether the identity of a broker involved in transactions contains information. Using a sample of transactions from the Australian Stock Exchange-where broker identity is transparent-we provide evidence that consecutive buyer-/seller-initiated transactions by the same broker have a relatively high permanent price impact. This implies that broker identity conveys information to market participants, and that markets in which broker identity is disclosed are likely to be more efficient. We also find that medium-sized trades by the same broker convey greater information than large and small trades, which is consistent with stealth trading by informed investors. Copyright (c) 2010, The Eastern Finance Association.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1540-6288.2010.00258.x
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    Bibliographic Info

    Article provided by Eastern Finance Association in its journal Financial Review.

    Volume (Year): 45 (2010)
    Issue (Month): 3 (08)
    Pages: 501-522

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    Handle: RePEc:bla:finrev:v:45:y:2010:i:3:p:501-522

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    Web page: http://www.easternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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    Cited by:
    1. Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, School of Economics and Finance, revised 16 Oct 2013.
    2. Pham, Thu Phuong, 2013. "Broker ID Transparency and Price Impact of Trades: Evidence from the Korean Exchange," Working Papers 17211, University of Tasmania, School of Economics and Finance, revised 16 Oct 2013.

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