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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLe Fol, Gaëlle*
hal.structure.identifier
dc.contributor.authorMero, Gulten*
dc.date.accessioned2014-10-20T07:32:48Z
dc.date.available2014-10-20T07:32:48Z
dc.date.issued2015
dc.identifier.issn0378-4266
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14040
dc.language.isoenen
dc.subjectVolatility-volume relationship
dc.subjectMixture of distribution hypothesis
dc.subjectInformation-based trading
dc.subjectLiquidity shocks
dc.subjectGMM tests
dc.subjectLiquidity arbitrage
dc.subject.ddc332en
dc.subject.classificationjelC.C5.C51en
dc.subject.classificationjelC.C5.C52en
dc.subject.classificationjelG.G1.G12en
dc.titleMeasuring the Liquidity Part of Volume
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Cergy-Pontoise;France
dc.description.abstractenBased on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on a structural definition of liquidity frictions arising from the theoretical framework of Grossman and Miller (1988), which explains how liquidity shocks affect the way in which information is incorporated into daily trading characteristics. In addition, we propose an econometric setup exploiting the volatility–volume relationship to filter the liquidity portion of volume and infer the presence of liquidity frictions using daily data. Finally, based on FTSE 100 stocks, we show that the extended MDH model proposed here outperforms that of Andersen (1996) and that the liquidity frictions are priced in the cross-section of stock returns.
dc.relation.isversionofjnlnameJournal of Banking and Finance
dc.relation.isversionofjnlvol50
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages92–105
dc.relation.isversionofdoi10.1016/j.jbankfin.2014.09.007
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-02-21T08:41:53Z
hal.identifierhal-01632766*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
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