Long-Lived Information and Intraday Patterns
AbstractThis paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity trading, (ii) there are no systematic patterns in the price impacts of orders, and (iii) the timing of information arrival is is unimportant. Result (i) is the same as that obtained by Admati and Pfleiderer (1988) in a model of short-lived private information, but (ii) and (iii) are different.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 9507009.
Length: 28 pages
Date of creation: 17 Jul 1995
Date of revision:
Note: Type of Document - AMS-LaTeX; prepared on PC-TeX; pages: 28; figures: none. First submitted version.
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asymmetric information; Kyle models; market microstructure;
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- G - Financial Economics
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- Ananth Madhavan & Matthew Richardson & Mark Roomans, .
"Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,"
Rodney L. White Center for Financial Research Working Papers
20-94, Wharton School Rodney L. White Center for Financial Research.
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