Skip to main content

Research Repository

Advanced Search

The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications (2017)
Journal Article
Gregoriou, A., & Rhodes, M. (2017). The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications. Review of Behavioural Finance, 9(1), 2-13. doi:10.1108/rbf-02-2017-0016

Purpose – The purpose is to examine the empirical relationship between trades undertaken by informed agents (managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach – An econometric a... Read More about The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications.