【毕业设计外文翻译用----金融市场微观结构外文文献】easley-ohara92adverse-jfqa.pdf

One Day in the Life of a Very
Common Stock
David Easley
Cornell University
Nicholas M. Kiefer
Cornell University, CLS, and University of Aarhus
Maureen O’Hara
Cornell University
Using the model structure of Easley and O’Hara
(Journal of Finance, 47, 577–604), we demon-
strate how the parameters of the market-mak-
er’s beliefs can be estimated from trade data. We
show how to extract information from both
trade and no-trade intervals, and how intraday
and interday data provide information. We de-
rive and evaluate tests of model specification
and estimate the information content of differen-
tial trade sizes. Our work provides a framework
for testing extant microstructure models, shows
how to extract the information contained in the
trading process, and demonstrates the empirical
importance of asymmetric information models
for asset prices.
The theoretical market microstructure literature a-
bounds with structural models of the market-maker’s
price-setting decision problem in securities markets.
These models [Glosten and Milgrom (1985); Kyle
We are grateful to seminar participants at Carnegie Mellon, Cornell, the Lon-
don Business School, Maryland, McGill, Minnesota, Northwestern, Prince-
ton, Rice, Rochester, Southern Methodist, Virginia Tech, Florida, and Aarhus
University, and the European Finance Association meetings. We also thank
the editor, Robert Korajczyk, an anonymous referee, Joel Hasbrouck, Rick
Green, Bruce Lehmann, and Tal Schwartz for ments. P. S. Srini-
vas and Joe Paperman provided valuable programming assistance. This re-
search was supported by National Science Foundation grant SBR93-20889.
Address correspondence to Maureen O’Hara, Johnson Graduate School of
Management, Malott Hall, Cornell University, Ithaca, NY 14853.
The Review of Financial Studies Fall 1997 Vol. 10, No. 3, pp. 805–835
c 1997 The Review of Financial Studies 0893-9454/97/$
The Review of Financial Studies/v10n31997
(1985); Easley and O’H