Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
构建了一个日内价格形成的结构模型，统一解释信息冲击与微观结构效应，揭示买卖价差、波动率、交易成本及收益自相关的日内模式，为价格发现和有效交易成本提供度量。
This paper develops a structural model of intraday price formation that embodies both information shocks and microstructure effects in an internally consistent, unified setting. The model allows us to better understand the observed intra-day patterns in bid-ask spreads, price volatility, transaction costs, as well as the autocorrelations of transaction returns and quote revisions. For example, the model simultaneously sheds light on why, over the day, (i) the variance of transaction price changes is U-shaped while the variance of ask price changes is declining, (ii) the bid-ask spread is U-shaped although information asymmetry and uncertainty over fundamentals is decreasing, and (iii) the autocorrelations of transaction price changes are large and negative, yet the autocorrelations of ask price changes are small and negative. In addition, the model’s parameters also provide a natural metric of price discovery and effective trading costs, which may prove useful in future studies.