Imperial College London

Emiliano Pagnotta

Business School

Assistant Professor of Finance



+44 (0)20 7594 0939e.pagnotta Website CV




53PG Suite 5.09Business School BuildingSouth Kensington Campus






BibTex format

author = {Kacperczyk, MT and Pagnotta, E},
doi = {rfs/hhz029},
journal = {The Review of Financial Studies},
pages = {4997--5047},
title = {Chasing Private Information},
url = {},
volume = {32},
year = {2019}

RIS format (EndNote, RefMan)

AB - Using over 5000 equity and option trades unequivocally based on nonpublic information about firm fundamentals, we find that commonly used asymmetric information proxies (AIPs) display abnormal values on days with informed trading. Volatility and trading volume are abnormally high, whereas illiquidity is low, both in equity and option markets. Daily returns reflect the sign of private signals but, on average, bid–ask spreads are 10% and 20% lower when informed investors are present in stock and option markets. Market makers’ learning under event uncertainty and the use of limit orders by informed investors help explain these findings. We characterize cross-sectional responses based on the duration of private information and find that informed traders select days with high uninformed volume to trade. Evidence from the U.S. Securities and Exchange Commission (SEC) Whistleblower Reward Program and the Financial Industry Regulatory Authority (FINRA) involvement address potential selection concerns.
AU - Kacperczyk,MT
AU - Pagnotta,E
DO - rfs/hhz029
EP - 5047
PY - 2019///
SN - 0893-9454
SP - 4997
TI - Chasing Private Information
T2 - The Review of Financial Studies
UR -
UR -
UR -
VL - 32
ER -