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Anonymity, Stealth Trading, and the Information Content of Broker Identity
Author(s) -
Frino Alex,
Johnstone David,
Zheng Hui
Publication year - 2010
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2010.00258.x
Subject(s) - anonymity , identity (music) , business , identity theft , commerce , sample (material) , stock market , stock (firearms) , internet privacy , computer security , computer science , mechanical engineering , physics , acoustics , engineering , paleontology , chemistry , chromatography , horse , biology
This paper examines whether the identity of a broker involved in transactions contains information. Using a sample of transactions from the Australian Stock Exchange—where broker identity is transparent—we provide evidence that consecutive buyer‐/seller‐initiated transactions by the same broker have a relatively high permanent price impact. This implies that broker identity conveys information to market participants, and that markets in which broker identity is disclosed are likely to be more efficient. We also find that medium‐sized trades by the same broker convey greater information than large and small trades, which is consistent with stealth trading by informed investors.