Economics at your fingertips  

Long-Lived Information and Intraday Patterns

Kerry Back and Hal Pedersen
Additional contact information
Hal Pedersen: University of Manitoba

Finance from University Library of Munich, Germany

Abstract: This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity trading, (ii) there are no systematic patterns in the price impacts of orders, and (iii) the timing of information arrival is is unimportant. Result (i) is the same as that obtained by Admati and Pfleiderer (1988) in a model of short-lived private information, but (ii) and (iii) are different.

Keywords: asymmetric information; Kyle models; market microstructure (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 1995-07-17
Note: Type of Document - AMS-LaTeX; prepared on PC-TeX; pages: 28; figures: none. First submitted version.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (application/postscript) (application/x-tex)

Related works:
Journal Article: Long-lived information and intraday patterns (1998) Downloads
Working Paper: Long-Lived Information and Intraday Patterns (1995) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

Page updated 2019-05-09
Handle: RePEc:wpa:wuwpfi:9507009