CEIS-Tor Vergata is pleased to inform you that, on Friday March 22nd , 2013 at 12.00 pm, prof. Roberto Renò (University of Siena) will present a paper on “EXcess Idle Time†ABSTRACT We introduce a novel stochastic quantity, named excess idle time (EXIT), measuring the extent of sluggishness in observed high-frequency financial prices. Using a limit theory robust to market microstructure noise, we provide econometric support for the fact that high-frequency transaction prices are, coherently with liquidity and asymmetric information theories of price determination, generally stickier than implied by the ubiquitous semimartingale assumptions (and its microstructure noise-contaminated counterpart). EXIT provides, for every asset and each trading day, a proxy for the extent of frictions (liquidity and asymmetric information) which is conceptually different from traditional price-impact measures. We relate it to existing measures and show its favorable performance under realistic data generating processes. We conclude by showing that EXIT uncovers an economically-meaningful short-term and long-term liquidity premium in market returns. The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS. How to reach us: http://web.uniroma2.it/mobilita/index.html http://www.economia.uniroma2.it/area.asp?a=867 Barbara Piazzi __________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 8130 (20130318) __________ Il messaggio è stato controllato da ESET NOD32 Antivirus. www.nod32.it |
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