TY  - UNPD
A1  - Gider, Jasmin
A1  - Schmickler, Simon
A1  - Westheide, Christian
T1  - High-frequency trading and price informativeness
T2  - SAFE working paper series ; No. 248
N2  - We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence, market prices are a less reliable predictor of future cash flows and investment, even more so for longer horizons. Further, firm-level idiosyncratic volatility decreases, and the holdings and trades by institutional investors deviate less from the market-capitalization weighted portfolio as a benchmark. Our results document that the informativeness of prices decreases subsequent to the start of HFT. These findings are consistent with theoretical models of HFTs' ability to anticipate informed order flow, resulting in decreased incentives to acquire fundamental information.
T3  - SAFE working paper - 248 
KW  - High-Frequency Trading
KW  - Price Efficiency
KW  - Information Acquisition
KW  - Information Production
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/49243
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-492437
UR  - https://ssrn.com/abstract=3349653
IS  - March 2019
PB  - SAFE
CY  - Frankfurt am Main
ER  -