Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects
- 1 April 1989
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 2 (2) , 189-223
- https://doi.org/10.1093/rfs/2.2.189
Abstract
This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.Keywords
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