Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Admati, A. R.
Right arrow Articles by Pfleiderer, P.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1989; 2:189-223
© 1989 the Society for Financial Studies

Article

Divide and conquer: a theory of intraday and day-of-the-week mean effects

AR Admati1 and P Pfleiderer2
1 Graduate School of Business, Stanford University, Stanford, CA 94305-5015, USA
2 Stanford University, Stanford, USA

Abstract

This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
I. Tsiakas
Periodic Stochastic Volatility and Fat Tails
J. Financial Econometrics, January 1, 2006; 4(1): 90 - 135.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.