Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

• 成果类型: Article
• 署名作者: Admati, Anat R.; Pfleiderer, Paul
• 署名单位: Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.2.189
• 发表日期: 1989
• 页码: 189
• 关键词: patterns; ask

摘要

This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.