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Private information, trading volume, and stock-return variances  

Опубликовано на портале: 02-10-2003
Review of Financial Studies. 1990.  Vol. 3. No. 2. P. 233-253. 
Тематический раздел:
New evidence is provided on the determinants of stock-return variances. First, when the Tokyo Stock Exchange is open on Saturday, the weekend variance increases; weekly variance is unaffected, however, despite an increase in weekly volume. Second, the listing of U.S. stocks in Tokyo substantially increases the number of trading hours, but Tokyo volume is negligible for these U.S. stocks and their 24-hour variance is unaffected. The overall results are consistent with the predictions of private-information-based rational trading models, but inconsistent with both the irrational trading noise and public-information hypotheses.

Статья была перепечатана в 1991 г. в журнале Japanese Financial Market Research, W. T. Ziemba, W. Bailey and Y. Hamao, editors, North Holland

Ссылки
текст статьи в формате PDF доступен на сайте журнала The Review of Financial
:
http://rfs.oupjournals.org/cgi/reprint/3/2/233
на персональной странице Майкла Барклая (Michael J. Barclay):
http://www.simon.rochester.edu/fac/barclay/PublishedPapers/rfs1990.pdf
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