Lucas Saru wins best paper award at the FMA European Conference
Lucas Saru (Vrije Universiteit Amsterdam), Finance PhD candidate under the supervision of research fellow Albert J. Menkveld, won the best paper award in Investments and Asset Pricing at the FMA’s 2023 European Conference in Aalborg from June 7-9.
Lucas presented his paper Who Knows? Information Differences Between Trader Types, co-authored with Albert J. Menkveld. Lucas’ research interests are in market microstructure, financial econometrics, and asset pricing. He graduated from Tinbergen Institute’s research master in 2020.
Abstract
We study informativeness of agency and principal trades. Order informativeness depends on the horizon and frequency we analyze. In line with the literature on high-frequency trading, principals are more informed than agents at the highest frequency, as measured by the contribution of the respective order flow series to the variance of efficient price innovations. Once we move to lower frequencies, price discovery is dominated by agents, while the share of principals goes to zero. This is reflected in gross trading revenues of agents and principals at different frequencies. Our results hold across market conditions as measured by the VIX.