Systematic staleness

Federico M. Bandi, Davide Pirino and Roberto Renò

Journal of Econometrics, 2024, vol. 238, issue 1

Abstract: Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics.

Keywords: Systematic staleness; Idiosyncratic staleness; Liquidity; Joint asymptotics (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385

DOI: 10.1016/j.jeconom.2023.105522

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