Roberto Renò on EXcess Idle Time

Relatore:  Roberto Renò - Università di Siena
  giovedì 11 dicembre 2014 alle ore 12.30 Aula E, Palazzo di Economia

We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in observed financial prices. Using a complete limit theory and formal tests, we provide econometric support for the fact that high-frequency transaction prices are, coherently with liquidity and asymmetric information theories of price determination, generally stickier than implied by the ubiquitous semi-martingale assumption and its noise-contaminated counterpart. EXIT provides, for every asset and each trading day, an effective proxy for the extent of illiquidity which is easily implementable using transaction prices only. When applied to the mar- ket, EXIT uncovers an economically-meaningful short-term and long-term compensation for illiquidity risk in market returns.  

Documenti
Titolo Formato  (Lingua, Dimensione, Data pubblicazione)
Paper  pdfpdf (it, 1887 KB, 05/12/14)

Referente
Diego Lubian

Referente esterno
Angelo Zago

Data pubblicazione
5 dicembre 2014