The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior
利用美国和加拿大交易所的日内买卖报价和交易价格数据，通过LOGIT分析检验询价交易概率在周内、不同价格组合和日内是否存在系统性模式，发现其与已知的收益率异常相似，并指出此前周末和日内收益率研究结论可能被夸大。
This paper tests the null hypothesis of no difference in the probability of a trade occurring at the ask using a new database containing intraday bid-ask quotes and transaction prices on both U.S. and Canadian Exchanges. We use LOGIT analysis to test the hypothesis across days of the week, price-stratified portfolios, and times of the day. We find system? atic patterns in the probability of a trade at the ask resembling previously documented returns anomalies and conclude that the findings of previous weekend and intraday returns studies may be overstated. The significance of this conclusion substantially increases as one moves from the use of interday to intraday data.