haku: @author Hasbrouck, J. / yhteensä: 7
viite: 3 / 7
| Tekijä: | Hasbrouck, J. |
| Otsikko: | Measuring the information content of stock trades |
| Lehti: | Journal of Finance
1991 : MAR, VOL. 46:1, p. 179-207 |
| Asiasana: | STOCK MARKETS INFORMATION FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | It is suggested that the interactions of security trades and quote revisions be modelled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of New York Stock Exchange issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occuring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms. |
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