Long-Lived Information and Intraday Patterns

OLIN-96-05

Posted: 9 Jul 1997

See all articles by Kerry Back

Kerry Back

Rice University - Jesse H. Jones Graduate School of Business

Hal Pedersen

affiliation not provided to SSRN

Date Written: December 15, 1995

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 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.

JEL Classification: G10, G14

Suggested Citation

Back, Kerry and Pedersen, Hal, Long-Lived Information and Intraday Patterns (December 15, 1995). OLIN-96-05, Available at SSRN: https://ssrn.com/abstract=8411

Kerry Back (Contact Author)

Rice University - Jesse H. Jones Graduate School of Business ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States

Hal Pedersen

affiliation not provided to SSRN

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