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Stock Return Variances: The Arrival of Information and the Reaction of Traders

Опубликовано на портале: 25-10-2007
Journal of Financial Economics. 1986.  Vol. 17. No. 1. P. 5-26. 
Asset prices are much more volatile during exchange trading hours than during non-trading hours. This paper considers three explanations for this phenomenon:
(1) volatility is caused by public information which is more likely to arrive during normal business hours;
(2) volatility is caused by private information which affects prices when informed investors trade; and
(3) volatility is caused by pricing errors that occur during trading.

Although a significant fraction of the daily variance is caused by mispricing, the behavior of returns around exchange holidays suggests that private information is the principle factor behind high trading-time variances.

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