A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets
通过一个知情交易者和多个流动性交易者的逆向选择模型，研究知情交易者在周一比其他日子拥有更多信息的假设对成交量、方差和逆向选择成本日内变化的影响，发现周一交易成本和价格变化方差最高，成交量低于周二，且对公开报告更好和可自由支配流动性交易更多的公司影响更强。
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.