Zeros

• 成果类型: Article
• 署名作者: Bandi, Federico M.; Kolokolov, Aleksey; Pirino, Davide; Reno, Roberto
• 署名单位: Johns Hopkins University; Universite Catholique de Lille; EDHEC Business School; University of Manchester; Alliance Manchester Business School; University of Rome Tor Vergata; Scuola Normale Superiore di Pisa; University of Verona
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3527
• 发表日期: 2020
• 页码: 3466-3479
• 关键词: VOLUME; liquidity; short-term options

摘要

Asset prices can be stale. We define price staleness as a lack of price adjustments yielding zero returns (i.e., zeros). The term idleness (respectively, near idleness) is, instead, used to define staleness when trading activity is absent (respectively, close to absent). Using statistical and pricing metrics, we show that zeros are a genuine economic phe-nomenon linked to the dynamics of trading volume and, therefore, liquidity. Zeros are, in general, not the result of institutional features, like price discreteness. In essence, spells of idleness or near idleness are stylized facts suggestive of a key, omitted market friction in the modeling of asset prices. We illustrate how accounting for this friction may generate sizable risk compensations in short-dated option returns.