A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

Foster, F. Douglas; Viswanathan, S.

doi:10.1093/rfs/3.4.593

Cited by 734 publications

(431 citation statements)

References 10 publications

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“…The results of this study are related to the theoretical work of Foster and Viswanathan (1990). In their model, informed traders accumulate private information through the weekend, when public information is not produced at the normal weekday rate.…”

Section: ⅰ Introductionmentioning

confidence: 65%

Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Morse

Nguyen

Quach³

2014

Glob Bus Financ Rev

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A B S T R A C TThis study examines the day-of-the-week trading patterns of individual and institutional investors. Consistent with previous evidence, we find an increase in the proportion of Monday trading volume attributable to individual investors relative to other days of the week. However, we document that this increase results from a reduction in trading by institutional investors, rather than from an absolute increase in trading by individual investors. In fact, the absolute trading volume by individual investors is significantly lower on Monday than on any other weekday. We also document that the degree of day-of-the-week effect varies with the quality and dissemination of public information proxied by the market capitalization of each company.

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Section: ⅰ Introductionmentioning

confidence: 65%

Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Morse

Nguyen

Quach³

2014

Glob Bus Financ Rev

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“…Outras potenciais explicações para esse efeito no mercado de ações estão relacionadas com as más notícias publicadas nas sextas-feiras ou nos finais de semana (Damodaran, 1989(Damodaran, , 2010 e também com o viés de assimetria de informação (Foster & Viswanathan, 1990), entre outros fatores, conforme discorrido no referencial teórico. Tais evidências, indiretamente, contrariam a moderna teoria de finanças e destinam a discussão para a Teoria de Finanças Comportamentais.…”

Section: Discussão Apontamentos Finais E Pesquisas Futurasunclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

Rev. adm. contemp.

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O objetivo geral deste trabalho consistiu em analisar a relação entre os dias de segunda-feira com a rentabilidade proporcionada pelos fundos de investimentos multimercados brasileiros. A base final de análise foi composta por 3.337 fundos multimercados, totalizando 3.529.808 observações para dados diários, no período de janeiro/2005 a setembro/2013. Com a utilização da análise de regressão com dados em painel, levando-se em consideração variáveis de controle apontadas pela literatura como relevantes, os principais resultados indicaram que o efeito segunda-feira também ocorre no segmento de fundos de investimento, sendo intensificado por períodos de crises financeiras. Contudo constatou-se que esse efeito não foi uniforme entre todas as subcategorias de fundos multimercados. Os resultados foram persistentes entre fundos cujo prazo de resgate é D+0, bem como foram robustos ao controle pela série de retornos do Ibovespa. A discussão foi ancorada principalmente na Teoria de Finanças Comportamentais, buscando-se assim potenciais explicações para essa anomalia de mercado.

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“…Indeed, this relationship was studied using market microstructure models and it was generally found true (Admati and Pfleiderer, 1988, Foster and Viswanathan, 1990, Llorente et al, 2002, Podobnik et al, 2009. The advent of electronic trading using high frequency data, the increase in the trading volume and the recent research in automatic liquidation of large orders may lead to inconsistencies and temporary contradictions of this statement.…”

Section: Introductionmentioning

confidence: 99%

Rare Events Analysis for High-Frequency Equity Data

Bozdog¹,

Florescu²,

Khashanah³

et al. 2011

Wilmott

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In this work we present a methodology to detect rare events which are defined as large price movement relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events and we exemplify for a particular trading rule. We apply the methodology to tick data for thousands of equities over a period of five days. In order to draw comprehensive conclusions we group the equities into classes and we calculate probabilities of price recovery after these rare events and for each class. The methodology that we have developed is based on non-parametric statistics and makes no assumption about the distribution of the random variables in the study. ______________________________________________________________________________________

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A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

Abstract: The detailed comments from the referee, Anat Admati, improved the article considerably. Address reprint requests to F. Douglas Foster, The

Cited by 734 publications

References 10 publications

Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Day-of-the-Week Trading Patterns of Individual and Institutional Investors

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Rare Events Analysis for High-Frequency Equity Data

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