TY  - UNPD
A1  - Grammig, Joachim G.
A1  - Theissen, Erik
A1  - Wünsche, Oliver
T1  - Time and the price impact of a trade: a structural approach
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,08
N2  - We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active are times when there is an increased presence of informed trading. Our empirical analysis based on recent European and U.S. data offers challenging new evidence. We find that as trade intensity increases, the informativeness of trades tends to decrease. This result is consistent with the predictions of Admati and Pfleiderer’s (1988) rational expectations model, and also with models of dynamic trading like those proposed by Parlour (1998) and Foucault (1999). Our results cast doubt on the common wisdom that fast markets bear particularly high adverse selection risks for uninformed market participants. JEL Classification: G10, C32 Keywords: Price Impact of Trades, Trading Intensity, Dynamic Duration Models, Spread Decomposition Models, Adverse Selection Risk
T3  - CFS working paper series - 2011, 08 
KW  - Price Impact of Trades
KW  - Trading Intensity
KW  - Dynamic Duration Models
KW  - Spread Decomposition Models
KW  - Adverse Selection Risk
Y1  - 2011
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/21083
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-92963
IS  - Version Febuary 9, 2011
ER  -