A BAYESIAN MODEL OF INTRADAY SPECIALIST PRICING
成果类型：
Article
署名作者：
MADHAVAN, A; SMIDT, S
署名单位：
Cornell University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(91)90028-I
发表日期：
1991
页码：
99-134
关键词：
摘要：
This paper develops and tests a model of intraday security price movements which incorporates the effects of both trading volume and unanticipated information. We estimate our model using transaction data from a NYSE specialist and find strong evidence of information asymmetry, although the inventory effect appears weak. The parameter estimates are used to compute the costs of trading, and we find that implicit bid-ask spreads were significantly higher in October 1987 than in the rest of that year. We also examine large-block versus smaller trades and buyer-initiated versus seller-initiated trades.
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