We investigate the information content of inter-transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude … of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general …

. Moreover, analysis of the micro data indicates that expectations of both risk and returns on stocks are strongly influenced by … expected returns on stocks rise during recessions to compensate household investors for increased exposure or sensitivity to …