Affiliation:
1. Department of Accounting and Finance, University of Weseern Ausfralia WA 6907.
2. Department of Finance, University of Sydney NSW 2006.
3. Department of Accounting, University of Sydney NSW 2006.
Abstract
We explain the probability of a trade at the asking price across time. The database contains intraday bid‐ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented return anomalies, including the day‐of‐week, end‐of‐day and turn‐of‐year anomalies. The probability is higher when a trade is of lower dollar volume, lower buy‐order imbalance, lower bid‐ask spread, when it is a trade of a smaller firm, a trade of a stock with higher trading frequency, higher price level, and the security is approved for short selling.
Subject
General Business, Management and Accounting
Cited by
14 articles.
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