A critical question facing speculators contemplating to trade on private information is whether their signal has already been priced in by the market. In our model, speculators assess the novelty of their information based on recent price movements, and market makers are aware that speculators might be trading on stale news. An asymmetric response to past price movements ensues: after price increases, buy volume – because it may result from stale news trading – has a lower price impact than sell volume (and vice versa after price decreases). Consequently, return skewness is negatively related to lagged returns. We find strong support for these and other predictions using a comprehensive sample of US stocks.

中文翻译：

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价格的不确定性


考虑利用私人信息进行交易的投机者面临的一个关键问题是他们的信号是否已经被市场消化。在我们的模型中，投机者根据最近的价格走势评估其信息的新颖性，而做市商意识到投机者可能会根据陈旧的新闻进行交易。对过去价格变动的不对称反应随之而来：价格上涨后，买入量（因为可能是由过时的新闻交易产生）对价格的影响低于卖出量（价格下跌后反之亦然）。因此，回报偏度与滞后回报呈负相关。我们使用美国股票的全面样本发现了对这些预测和其他预测的有力支持。