Which Daily Price Is Less Noisy?

The daily efficient price is the price that would prevail if the market were frictionless. I show that volume-weighted average price (VWAP) provides a less noisy estimate for the unobservable efficient price as compared to the closing price. The variance of daily returns computed with VWAPs is small...

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Bibliographic Details
Main Author: TING, Christopher
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1880
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2879/viewcontent/Ting_2006_Financial_Management_DailyPriceNoisy.pdf
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Institution: Singapore Management University
Language: English