An Econometric Analysis of Nonsynchronous Trading
构建了一个基于随机删失的非同步资产价格随机模型，量化了非频繁交易对股票收益率时间序列性质的影响，并解释了随机游走假说被拒绝的原因。
We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These are empirically testable implications for the variances, autocorrelations, and cross-autocorrelations of returns to individual stocks as well as to portfolios. We construct estimators to quantify the magnitude of non-trading effects in commonly used stock returns data bases and show the extent to which this phenomenon is responsible for the recent rejections of the random walk hypothesis.