Furthermore, results show that price volatility had a positive relationship with bid–ask spread and a negative relationship with lagged trading volume. In addition, we found that the ordinary least-squares parameter estimates of each equation model were often severely underestimated in comparison with...
A bid-offer spread is an equation used for trading stocks in the financial markets. It represents the difference between what investors are willing to pay for a stock and the price at which sellers are willing to dispose of the same security. A bid-offer spread is the difference between the...
ask spread. They examine the relation between the expected gross return and the relative bid-ask spread within their CAPM-based model. Like AM, their model positively relates expected returns to the relative spread, but with an increasing rate (convex relation). JFG designate this convex relation...
However, inclusion of both measures as proxy for informal arrival in the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns./pdoi:10.5539/ijef.v3n1p23Hussain, Syed MujahidCanadian Center of Science and EducationInternational Journal of ...
on the world's stock market.Here we extend Shi's price-volume differential equation and measure the frequency of market crowd's trading action at a ... L Shi,L Han,Y Zhu,... - China Finance Review International Conference 被引量: 0发表: 2013年 Market anomalies, asset pricing models, ...
We further add a fifth equation with the net order flow in the underlying asset, which allows for a direct comparison of price impact in the underlying asset and the aggregate option market. We address the challenge that volatility is unobservable by linking a structural option pricing model to...
The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns Merton's [26] recent extension of the CAPM proposed that asset returns are an increasing function of their beta risk, residual risk, and size and a decreasing function of the public availability of information abo...
That is, bs1 need not be known to solve the (in this symmetric case) equation characterizing equilibrium behavior. Imagine for the moment that bs1 > vn, where vn denotes the highest possible type among the art students. Once the students enter the auction, it seems unlikely that the ...
A bid-offer spread is an equation that is used for trading stocks in the financial markets. The way that a bid-offer spread is...
We spread changes between the end-of-month holdings evenly over the business days in each month, so as to control for variations in the lengths of the months. Hence, the regression equation reads: (9)BCi,tp=ci+α1Yi,t−1+α2VOLi,t−1+α3CSpreadi,t−1+α4SUPi,tp+α5logWi,...