A comparison of some structural models of private information arrival
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DOI: 10.1016/j.jfineco.2019.08.005
Abstract: We show that the PIN and the Duarte and Young (2009) (APIN) models do not match the variability of noise trade in the data and that this limitation has severe implications for how these models… read more here.
Keywords: information arrival; comparison structural; private information; models private ... See more keywords