全球智库信息集成服务系统(G2TT): High Frequency Market Microstructure Noise Estimates and Liquidity Measures

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w13825
来源ID	Working Paper 13825
	High Frequency Market Microstructure Noise Estimates and Liquidity Measures
	Yacine Ait-Sahalia; Jialin Yu
发表日期	2008-02-14
出版年	2008
语种	英语
摘要	Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks, and in particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics have lower noise and noise-to-signal ratio measured from their high frequency returns. We then examine whether there exists a common, market-wide, factor in high frequency stock-level measurements of noise, and whether that factor is priced in asset returns.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w13825
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/571499
推荐引用方式 GB/T 7714	Yacine Ait-Sahalia,Jialin Yu. High Frequency Market Microstructure Noise Estimates and Liquidity Measures. 2008.