Why do security prices change? A transaction-level analysis of NYSE stocks |
| |
Authors: | Madhavan, A Richardson, M Roomans, M |
| |
Affiliation: | 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! |
|