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Asset Price Dynamics with Limited Attention by Terrence Hendershott; Albert J Menkveld; Rémy Praz; Mark Seasholes is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Asset Price Dynamics with Limited Attention about?

## Abstract We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model’s parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances, autocorrelations, and cross-autocorrelations among our three data series from daily to monthly frequencies. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a half-life of 6.2 weeks. These pricing errors account for 9.4$\%$, 7.0$\%$, and 4.5$\%$ of the respective daily, monthly, and quarterly idiosyncratic return variances.

Who reads Asset Price Dynamics with Limited Attention?

Author

Terrence Hendershott; Albert J Menkveld; Rémy Praz; Mark Seasholes

Publisher

Oxford University Press (OUP)

Published

2021

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)