Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing
研究交易与非交易时段信息流速率差异，以及开盘与收盘定价误差方差是否不同。方法允许定价误差与信息流相关，并在个股层面进行推断。发现白天信息流速率约为夜间的七倍，开盘与收盘定价误差方差无显著差异。
This study examines whether rates of information flow differ between trading and non-trading periods, and whether the variances of pricing errors differ at the open and close of trading. The approach improves on existing methods by allowing for correlation between pricing errors and information flow, and by conducting inferences at the individual security level. The daytime rate of information flow is about seven times the overnight rate, and the variances of pricing errors at the open are not different from those at the close of trading. This evidence differs from existing results based on return variance ratios.