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| Author: | Madhavan, A. Richardson, M. Roomans, M. |
| Title: | Why do security prices change? A transaction-level analysis of NYSE stocks |
| Journal: | Review of Financial Studies
1997 : WINTER, VOL. 10:4, p. 1035-1064 |
| Index terms: | PRICING CHANGE SECURITY |
| Language: | eng |
| Abstract: | This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. The authors use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote autocorrelations, and to construct metrics for price discovery and effective trading costs. Information asymmetry and uncertainty over fundamental decrease over the day, although transaction costs increase. |
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