Does high-frequency trading cause stock prices to deviate from fundamental values?
研究发现高频交易加剧了股价与会计估值之间的偏离，且该结果在多种统计检验和自然实验中均成立，对理解高频交易的长期估值影响有参考价值。
We examine whether high-frequency trading (HFT) is associated with greater deviations of stock prices from firms’ fundamental, intrinsic values. Prior studies show that HFT can improve market liquidity and price discovery in the short-term, but countervailing effects can discourage new information acquisition, reduce the amount of fundamental news reflected in stock prices, and reduce institutional investors’ desire to invest and trade in stocks subject to high levels of HFT. We find that greater HFT leads to a greater deviation of stock prices from accounting-based valuation estimates. The results hold across univariate, multivariate, and cross-sectional tests, as well as a natural experiment that induces an exogenous shock to HFT for a small sample of firms. Our findings contribute to the understanding of the longer-term valuation implications of HFT, as well as the traditional valuation role of accounting variables.