Journal of Financial Economics
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Выпуск N3 за 1993 год
Portfolio Return Autocorrelation [статья]
Опубликовано на портале: 25-10-2007Timothy S. Mech Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 307-334.
This paper investigates whether portfolio return autocorrelation can be explained by time-varying expected returns, nontrading, stale limit orders, market maker inventory policy, or transaction costs. Evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid-ask spread. Cross-sectional tests support this prediction, but time-series tests do not.
Опубликовано на портале: 02-10-2003Michael J. Barclay, Jerold B. Warner Journal of Financial Economics. 1993. Vol. 34. No. 3. P. 281-305.
We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.