On Intraday Risk Premia.
This article presents a framework for analyzing the dynamic effects of anticipated large demand pressures on asset risk premia. The authors show that large institutions who can time their entry into the market will trade either at the open or during periods of unusual demand pressures. They show that if these institutions do enter later in the day, they trade in the same direction as institutions which provide liquidity continuously; institutions therefore appear to exhibit 'herding' behavior. The authors also explore how changing the uncertainty of demand pressures late in the day affects trading costs throughout the day. Copyright 1995 by American Finance Association.
Year of publication: |
1995
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Authors: | Spiegel, Matthew ; Subrahmanyam, Avanidhar |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 50.1995, 1, p. 319-39
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Publisher: |
American Finance Association - AFA |
Saved in:
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