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Asset Price Dynamics with Limited Attention.
- Source :
- Review of Financial Studies; Feb2022, Vol. 35 Issue 2, p962-1008, 47p
- Publication Year :
- 2022
-
Abstract
- We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model's parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances, autocorrelations, and cross-autocorrelations among our three data series from daily to monthly frequencies. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a half-life of 6.2 weeks. These pricing errors account for 9.4 |$\%$| , 7.0 |$\%$| , and 4.5 |$\%$| of the respective daily, monthly, and quarterly idiosyncratic return variances. [ABSTRACT FROM AUTHOR]
- Subjects :
- ASSETS (Accounting)
PRICING
STOCK prices
RATE of return
Subjects
Details
- Language :
- English
- ISSN :
- 08939454
- Volume :
- 35
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Review of Financial Studies
- Publication Type :
- Academic Journal
- Accession number :
- 154800618
- Full Text :
- https://doi.org/10.1093/rfs/hhab045