Divide and conquer: a theory of intraday and day-of-the-week mean effects |
| |
| Authors: | Admati AR; Pfleiderer P |
| |
| Institution: | 1 Graduate School of Business, Stanford University, Stanford, CA 94305-5015, USA
2 Stanford University, Stanford, USA |
| |
| Abstract: | This article develops a model in which patterns in buy and sellvolume, order imbalances, and expected price changes arise endogenously.The model covers cases in which the market maker is competitiveand is a monopolist. Our results provide an explanation forthe existence of patterns in mean returns within the tradingday and across trading days. |
| |
| Keywords: | |
| 本文献已被 Oxford 等数据库收录！ |
|
