Blume L., Easley D., O'Hara M.,19 9[[ Market Statistics and Technical Analysis: The role of Volume, Journal of Finance, Vol. XIIX, No. 1.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....is seller initiated at t ,1 and is buyer initiated at t; it takes on the value ,1 in the reverse case, and is 0 otherwise. 10 The variable RptAsk takes on the value of 1 if two successive transactions at the ask quote are observed and zero otherwise. In spite of theoretical models like Blume, Easley, and O Hara #1994# and empirical studies like Easley, Kiefer, and O Hara #1997# which support the role of volume for the information di#usion we refrain in this study from considering volume explicitly because it was found to be unreliable, but focus instead on the occurence of transactions themselves in order to ....

Blume, L., D. Easley, and M. O'Hara #1994#: #Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, 49, 153#181.

....and He and Wang (1995) the signals observed by the informed traders are independently and identically distributed, when conditioned on the true value of the asset. 1 In Grundy and McNichols (1989) the signals are correlated across traders but have the same precision. In a different framework, Blume, Easley and O Hara (1994) use signals with varying precisions. As pointed by Jain (1988) the response of trading volume to economic news may indicate the degree to which market participants disagree about the effect of the announcement. With identically distributed signals, the heterogeneity of beliefs is ex post, i.e. ....

Blume Lawrence, David Easley, and Maureen O'Hara (1994), "Market Statistics and Technical Analysis: The Role of Volume", The Journal of Finance, Vol XLIX, No 1, March 1994.

....statistically significant negative effect on liquidity, regardless of side of market. 21 The result stands in sharp contrast to the typically trading volume volatility relationship, in which the positive correlation between variables typically is attributable to information effects (e.g. Blume, Easley, and O Hara (1994)) In an open limit order book system, higher volatility i ncreases the value of the free option stemming from liquidity provision to the order book. Periods of higher information intensity and concomitant higher volatility increase the likelihood of adverse selection, and adverse selection ....

Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market statistics and technical analysis: The role of volume, Journal of Finance 49, 153-181.

.... those of Foster (1995) and indicate that the presence of a simultaneity problem is less serious than that suggested by Najand and Yung (1991) The failure of contemporaneous as well as lagged volume to capture GARCH effects in conditional volatility equation is consistent with the proposition by Blume, Easley, and O Hara (1994) that the volume provides information on the precision and dispersion of information signals, rather than serving as proxy for the information signal itself. It is widely documented in the literature that intraday return volatility and intraday variations of bid ask spreads are highly correlated ....

Blume, L., Easley, D., and O'Hara, M, 1994: "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, 49: 153-181.

....H1: The bid ask spread carries information and has a negative impact on the time until the next transaction. Furthermore, Easley and O Hara (1987) assume that informed traders prefer to trade larger amounts at any given price, thus, the strategy of the market maker must depend on trade sizes. Blume, Easley and O Hara (1994) investigate the informational role of volume. In this framework volume captures the important information contained in the quality of traders information signals. Easley and O Hara (1992) consider the market makers belief, given an observed trading history, and propose informational content of ....

BLUME, L., D. EASLEY, AND M. O'HARA (1994): "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, 49, 153-181.

....information should be handled and interpreted. Even less is known about how past trading volume interacts with past returns in the prediction of future stock returns. Stock returns and trading volume are jointly determined by the same market dynamics, and are inextricably linked in theory (e.g. Blume, Easley, and O Hara (1994)) Yet prior empirical studies have generally accorded them separate treatment. In this study, we investigate the usefulness of trading volume in predicting cross sectional returns for various price momentum portfolios. The study is organized into two parts. In the first part, we document the ....

....Campbell, Grossman, and Wang (1993) present a model in which trading volume proxies for the aggregate demand of liquidity traders. However, their model focuses on short run liquidity imbalances (or volume shocks) of a daily or weekly duration, and makes no predictions about longer term returns. Blume, Easley, and O Hara (1994) present a model in which traders can learn valuable information about a security by observing both past price and past volume information. However, their model does not specify the nature of the information that might be derived from past volume. We provide empirical evidence on the nature of ....

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Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market statistics and technical analysis: The role of volume, Journal of Finance 49, 153-181.

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Blume L., Easley D., O'Hara M.,19 9[[ Market Statistics and Technical Analysis: The role of Volume, Journal of Finance, Vol. XIIX, No. 1.

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Blume, L., Easley, D. and O'Hara, M., Market statistics and technical analysis: The role of volume, Journal of Finance, ##, (1994), 153-181.

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Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market statistics and technical analysis: The role of volume, Journal of Finance 69, 153-181.

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Blume L., Easley D., O'Hara M., 1994, Market Statistics and Technical Analysis: The role of Volume, Journal of Finance, Vol. XIIX, No. 1.

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Blume, Lawrence, David Easley, and Maureen O'Hara, 1994, Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance 49, 153--181.

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