Order Arrival, Quote Behavior, and the Return-Generating Process
This paper establishes three empirical results. The authors find positive autocorrelation in actual intraday stock returns, in intraday returns computed from quot e-midpoints, and in the arrival of buy and sell orders. They present a model of return generation which incorporates these features via la gged adjustment of the limit-order price and positive dependence in b id and ask transactions. The return model is observationally equivale nt to an ARMA process which is consistent with the observed return be havior. Copyright 1987 by American Finance Association.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 42 (1987)
Issue (Month): 4 (September)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|