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One Day in the Life of a Very Common Stock
Abstract
Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of symmetric information models for asset prices.
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Cited by
Does Stock Liquidity Enhance or Impede Firm Innovation?
FANG, V. W., TIAN, X., & TICE, S. (2014) · The Journal of Finance · doi:10.1111/jofi.12187 · Cited by 1,339
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
Easley, D., O'Hara, M., & Srinivas, P. S. (1998) · The Journal of Finance · doi:10.1111/0022-1082.194060 · Cited by 1,084
Self-citationAmihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Conference calls and information asymmetry
Brown, S., Hillegeist, S. A., & Lo, K. (2004) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2004.02.001 · Cited by 482
Cross-Listing, Investment Sensitivity to Stock Price, and the Learning Hypothesis
Foucault, T., & Frésard, L. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhs093 · Cited by 336
Metadata
- Authors
- Easley, D., Kiefer, N. M., & O'Hara, M.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1997-07
- Volume
- 10
- Issue
- 3
- Pages
- 805-835
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1988135531
- Cited by
- 634
- References
- 0
- FWCI
- 23.41
- Type
- journal article
- Language
- en
- Open access
- closed
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- Easley, D., Kiefer, N. M., & O'Hara, M. (1997). One Day in the Life of a Very Common Stock. Review of Financial Studies. https://doi.org/10.1093/rfs/10.3.805
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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