publication . Other literature type . Article . 1997

One Day in the Life of a Very Common Stock

David Easley; Nicholas M. Kiefer; Maureen O'Hara;
  • Published: 01 Jul 1997
  • Publisher: Oxford University Press (OUP)
Abstract
Using the model structure of Easley and O'Hara, 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 asymmetric information models for asset prices. Article published by Oxford University ...
Subjects
free text keywords: Economics and Econometrics, Accounting, Finance, Common stock, Specification, Financial economics, Economics, Information asymmetry, Extant taxon, business.industry, business
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publication . Other literature type . Article . 1997

One Day in the Life of a Very Common Stock

David Easley; Nicholas M. Kiefer; Maureen O'Hara;