{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,3]],"date-time":"2025-10-03T17:35:48Z","timestamp":1759512948352},"reference-count":18,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2003,3,18]],"date-time":"2003-03-18T00:00:00Z","timestamp":1047945600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2003,7]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade\u2010indicator model of Glosten and Harris (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib4\">1988<\/jats:ext-link>) is extended to a two\u2010state regime\u2010switching setting, and the model is estimated using tick\u2010by\u2010tick data from the New York Stock Exchange (NYSE). The specialist is found to react in accordance with the proposed model. Bid\u2013ask quotes set after the execution of a trade reflect the conjectured information content of that particular trade. Based on the estimated model four empirical results emerge: (a) the suggested regime\u2010switching model fit data well; (b) the reverse J\u2010shaped pattern of intra\u2010daily quoted spreads is shown to agree with the clustering of costs incurred by the specialist through trading with better\u2010informed agents; (c) on average 9% of all trades are found to reveal private: information to the specialist; (d) results regarding the trading volume of informed traders support the stealth trading hypothesis suggested by Barclay and Warner (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib1\">1993<\/jats:ext-link>). Copyright \u00a9 2003 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.707","type":"journal-article","created":{"date-parts":[[2003,8,11]],"date-time":"2003-08-11T13:45:34Z","timestamp":1060609534000},"page":"457-470","source":"Crossref","is-referenced-by-count":17,"title":["Inferring the private information content of trades: a regime\u2010switching approach"],"prefix":"10.1002","volume":"18","author":[{"given":"Ken","family":"Nyholm","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2003,3,18]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90029-B"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04074.x"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb04075.x"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(88)90034-7"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1993.10509961"},{"key":"e_1_2_6_7_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton JD","year":"1994"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(69)41686-9"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950070506"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199603)11:2<195::AID-JAE375>3.0.CO;2-2"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05121.x"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/10.4.995"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1991.tb02683.x"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05122.x"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(98)00008-7"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04408.x"},{"key":"e_1_2_6_18_1","volume-title":"Reshaping the Equity Markets","author":"Schwartz RA","year":"1993"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912526"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.707","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.707","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,17]],"date-time":"2023-10-17T23:10:10Z","timestamp":1697584210000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.707"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2003,3,18]]},"references-count":18,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2003,7]]}},"alternative-id":["10.1002\/jae.707"],"URL":"https:\/\/doi.org\/10.1002\/jae.707","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2003,3,18]]}}}