Hendershott, Terrence; Menkveld, Albert J. - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …