Measuring the Information Content of Stock Trades.

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Hasbrouck, Joel;
  • Journal: Journal of Finance, volume 46, issue 1 March, pages 179-207

This paper suggests that the interactions of security trades and quote revisions be modeled 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. Estimate... View more
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