首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Why do security prices change? A transaction-level analysis of NYSE stocks
Authors:Madhavan  A; Richardson  M; Roomans  M
Institution:1 New York University and NBER, USA
2 JP Morgan Investment Management Inc., USA
z Corresponding author at: Marshall School of Business, University of Southern California, Los Angeles, CA 90089-1421, USA
Abstract:This article develops and tests a structural model of intradayprice formation that embodies public information shocks andmicrostructure effects. We use the model to analyze intradaypatterns in bid-ask spreads, price volatility, transaction costs,and return and quote auto-correlations, and to construct metricsfor price discovery and effective trading costs. Informationasymmetry and uncertainty over fundamentals decrease over theday, although transaction costs increase. The results help explainthe U-shaped pattern in intraday bid-ask spreads and volatility,and are also consistent with the intra-day decline in the varianceof ask price changes.
Keywords:
本文献已被 Oxford 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号