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Rev Fin 1997; 10:805-835
© 1997 the Society for Financial Studies

Article

One day in the life of a very common stock

D Easley, NM Kiefer1 and M O'Haraz
1 University of Aarhus, Denmark
z Corresponding author at: Johnson Graduate School of Management, Malott Hall, Cornell University, Ithaca, NY 14853, USA

Abstract

Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577-604), we demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. We show how to extract information from both trade and no-trade intervals, and how intraday and interday data provide information. We derive and evaluate tests of model specification and estimate the information content of differential trade sizes. Our work provides a framework for testing extant microstructure models, shows how to extract the information contained in the trading process, and demonstrates the empirical importance of symmetric information models for asset prices.


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