Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

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Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

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Admati, Anat R
Pfleiderer, Paul

Abstract

This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 2 (1989)
Issue (Month): 2 ()
Pages: 189-223
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Handle: RePEc:oup:rfinst:v:2:y:1989:i:2:p:189-223

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Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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- Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351. [Downloadable!] (restricted)
Josep Garcia Blandón, 2001. "New Findings Regarding Return Autocorrelation Anomalies and the Importance of Non-trading Periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
Sandro Brusco & Carolina Manzano & Mikel Tapia, 2003. "Price Discovery In The Pre-Opening Period. Theory And Evidence From The Madrid Stock Exchange," Business Economics Working Papers wb035814, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]

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