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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| 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 |
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