haku: @author Stoll, H. R. / yhteensä: 16
viite: 4 / 16
| Tekijä: | Huang, R. D. Stoll, H. R. |
| Otsikko: | Market microstructure and stock return predictions. |
| Lehti: | Review of Financial Studies
1994 : SPRING, VOL. 7:1, p. 179-213 |
| Asiasana: | STOCK RETURNS ECONOMETRIC MODELS STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns? A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions. Microstructure variables and lagged stock index futures returns have in-sample and out-of-sample predictive power based on data observed at five-minute intervals. |
SCIMA