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dc.contributor.authorOwens, Johnen_NZ
dc.contributor.authorSteigerwald, Douglas Gen_NZ
dc.date.available2011-04-07T03:19:05Z
dc.date.copyright2004-08-20en_NZ
dc.identifier.citationOwens, J., & Steigerwald, D. G. (2004, August 20). Inferring information frequency and quality. University of Otago Department of Finance Seminar Series.en
dc.identifier.urihttp://hdl.handle.net/10523/1541
dc.description.abstractWe develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with non-model based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we examine intervals around earnings announcements when private information flow is likely. We find evidence that flows are more likely prior to earnings announcements, which indicates that the estimates reflect the arrival of latent information.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_04.htmlen_NZ
dc.subjectprivate informationen_NZ
dc.subjectstationary asset priceen_NZ
dc.subjecttrading volume seriesen_NZ
dc.subjectmixture-of-distributions hypothesisen_NZ
dc.subjectinformation flowen_NZ
dc.subjectearnings announcementsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleInferring information frequency and qualityen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages29en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints622en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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