Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1993.tb04706.x/fullpdf
Reference27 articles.
1. A theory of intraday patterns: Volume and price variability;Admati;The Review of Financial Studies,1988
2. Periodic market closure and trading volume: A model of intraday bids and asks;Brock;Journal of Economic Dynamics and Control,1992
3. A theory of interday variations in volumes, variances and trading costs in securities markets;Foster;The Review of Financial Studies,1990
4. Stock return variances: The arrival of information and the reaction of traders;French;Journal of Financial Economics,1986
5. Sub-period aggregation and the power of multivariate tests of portfolio efficiency;Gibbons;Journal of Financial Economics,1987
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