| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3888 |
| 来源ID | Working Paper 3888 |
| An Ordered Probit Analysis of Transaction Stock Prices | |
| Jerry A. Hausman; Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1991-10-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. Such an approach takes into account the fact that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly spaced time intervals. Unlike existing continuous-time/discrete-state models of discrete transaction prices, ordered probit can capture the effects of other economic variables on price changes, such as volume, past price changes, and the time between trades. Using 1988 transactions data for over 100 randomly chosen U.S. stocks, we estimate the ordered probit model via maximum likelihood and use the parameter estimates to measure several transaction-related quantities, such as the price impact of trades of a given size, the tendency towards price reversals from one transaction to the next, and the empirical significance of price discreteness. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w3888 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561221 |
| 推荐引用方式 GB/T 7714 | Jerry A. Hausman,Andrew W. Lo,A. Craig MacKinlay. An Ordered Probit Analysis of Transaction Stock Prices. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3888.pdf（836KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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