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A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information

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Author Info
Richardson, Matthew
Smith, Tom
Abstract

This paper proposes and conducts direct tests of the mixture of distributions model for stock prices. By exploiting the model's bivariate conditional normality of price changes and trading volume, these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market. As a technical byproduct, important parameters governing the distribution of this unobservable information flow are estimated.

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File URL: http://journals.cambridge.org/abstract_S0022109000008814
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 01 (March)
Pages: 101-116
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:29:y:1994:i:01:p:101-116_00

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  1. Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
    Other versions:
  2. Niklas Wagner & Terry Marsh, 2000. "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series 1002, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    Other versions:
  3. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  4. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Documents de Travail 90, Banque de France. [Downloadable!]
  5. Ainhoa Zarraga, 2003. "GMM-based testing procedures of the mixture of distributions model," Applied Financial Economics, Taylor and Francis Journals, vol. 13(11), pages 841-848, November. [Downloadable!] (restricted)
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