We gratefully acknowledge the comments we received from the seminar participants at the University of Connecticut and the Indian Institute of Management Calcutta. We thank NYSE for making the TORQ data available to us, B. Radhakrishna for his help with the TORQ data and Xin Tong for her assistance during the final revision of the paper. We sincerely thank the referee for countless suggestions for improving the paper. We are responsible for any remaining errors in the paper.
Information Content in Small and Large Trades
Version of Record online: 7 JUL 2011
© 2011 The Authors Economic Notes © 2011 Banca Monte dei Paschi di Siena SpA.
Volume 40, Issue 1-2, pages 45–74, February / July 2011
How to Cite
Dey, . M. K., Stern, H. and Zhang, H. (2011), Information Content in Small and Large Trades. Economic Notes, 40: 45–74. doi: 10.1111/j.1468-0300.2011.00232.x
- Issue online: 18 JUL 2011
- Version of Record online: 7 JUL 2011
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