A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

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ID: 303069
1990
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Abstract
In an adverse selection model of a securities market with one informed trader and several liquidity traders, we study the implications of the assumption that the informed trader has more information on Monday than on other days. We examine the interday variations in volume, variance, and adverse selection costs, and find that on monday the trading costs and the variance of price changes are highest, and the volume is lower than on Tuesday. These effects are stronger for firms with better public reporting and for firms with more discretionary liquidity trading.
Reference Key
openalex_W2167759315 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors F. Douglas Foster, Siva Viswanathan
Journal review of financial studies
Year 1990
DOI
10.1093/rfs/3.4.593
URL
https://doi.org/10.1093/rfs/3.4.593
Keywords Keywords not found

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