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- W1975750328 abstract "We explain the probability of a trade at the asking price across time. The database contains intraday bid‐ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented return anomalies, including the day‐of‐week, end‐of‐day and turn‐of‐year anomalies. The probability is higher when a trade is of lower dollar volume, lower buy‐order imbalance, lower bid‐ask spread, when it is a trade of a smaller firm, a trade of a stock with higher trading frequency, higher price level, and the security is approved for short selling." @default.
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- W1975750328 date "1995-12-01" @default.
- W1975750328 modified "2023-09-23" @default.
- W1975750328 title "An Intraday Analysis of the Probability of Trading on the ASX at the Asking Price" @default.
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- W1975750328 doi "https://doi.org/10.1177/031289629502000202" @default.
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