Brockman, Paul; Chung, Dennis Y - In: Review of Quantitative Finance and Accounting 21 (2003) 3, pp. 251-65
The purpose of this study is to investigate the inter-temporal trading behavior of informed and uninformed investors. We estimate a variation of the market microstructure model developed in Easley, Keifer, O'Hara, and Paperman (1996) and document the day-of-the-week pattern in informed and...
