CaltechAUTHORS
  A Caltech Library Service

Stock return variances: The arrival of information and the reaction of traders

French, Kenneth R. and Roll, Richard (1986) Stock return variances: The arrival of information and the reaction of traders. Journal of Financial Economics, 17 (1). pp. 5-26. ISSN 0304-405X. https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475

Full text is not posted in this repository. Consult Related URLs below.

Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475

Abstract

Asset prices are much more volatile during exchange trading hours than during non-trading hours. This paper considers three explanations for this phenomenon: (1) volatility is caused by public information which is more likely to arrive during normal business hours; (2) volatility is caused by private information which affects prices when informed investors trade; and (3) volatility is caused by pricing errors that occur during trading. Although a significant fraction of the daily variance is caused by mispricing, the behavior of returns around exchange holidays suggests that private information is the principle factor behind high trading-time variances.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1016/0304-405X(86)90004-8DOIArticle
Additional Information:© 1986 Published by Elsevier B.V. This paper has benefited from the comments of seminar participants at Boston College, the University of British Columbia, the University of Chicago, Dartmouth College, Harvard University, Northwestern University, Purdue University and Stanford University. We are also grateful to Craig Ansley, Merton Miller, Steven Ross, Robert Stambaugh, William Schwert, Jerold Warner (the referee), and especially, Douglas Diamond and Eugene Fama for comments on an earlier draft.
Issue or Number:1
Record Number:CaltechAUTHORS:20190430-084744475
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475
Official Citation:Kenneth R. French, Richard Roll, Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, Volume 17, Issue 1, 1986, Pages 5-26, ISSN 0304-405X, https://doi.org/10.1016/0304-405X(86)90004-8. (http://www.sciencedirect.com/science/article/pii/0304405X86900048)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95112
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:30 Apr 2019 19:55
Last Modified:03 Oct 2019 21:10

Repository Staff Only: item control page