Our speaker will be

Aleksandra Rzeznik

(WU Wien).

She will give a talk on "Informed Trading and Co-Illiquidity" (with Søren Hvidkjær, and Massimo Massa)".

The talk will take place at 14:00-15:00 in seminar room D3.0.218.

Abstract: We study the link between informed trading and co-movement in liquidity. We argue that investors concerned with liquidity and fire sale shocks respond to an increase in informed trading by shifting their portfolios away from stocks with high information asymmetry. Their rebalancing results in a substitution in ownership away from the very same investors that induce financial fragility and co-movement in liquidity. This reduces co-illiquidity of the a affected stocks. We exploit a unique natural experiment that increases the incentives of informed traders to trade. Our results suggest that informed traders reduce the exposure to co-movement in liquidity: one of the major problems during the latest global financial crisis.