Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "8447"
  #_source: array:26 [
    "id" => "8447"
    "slug" => "the-dynamic-response-of-stock-prices-under-asymmetric-information-and-inventory-costs-theory-and-evidence"
    "yearMonth" => "2000-01"
    "year" => "2000"
    "title" => "The Dynamic Response of Stock Prices under Asymmetric Information and Inventory Costs: Theory and Evidence"
    "description" => "CHAU, M. et LIM, J. (2000). <i>The Dynamic Response of Stock Prices under Asymmetric Information and Inventory Costs: Theory and Evidence</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "LIM Jamus"
        "bid" => "B00741035"
        "slug" => "lim-jamus"
      ]
      1 => array:1 [
        "name" => "CHAU M."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Nous développons et estimons un modèle de prix de transaction qui tient compte de l'information asymétrique et des coûts d'inventaire. Une spécificité de notre modèle est qu'il inclut non seulement l'effet de l'inventaire du teneur de marché sur les prix des actions mais aussi celui de l'inventaire des investisseurs institutionnels. De plus, il tient compte des interactions entre contrôle d'inventaire et information asymétrique. Nous nous intéressons aux implications de notre modèle concernant l'impact du flot d'ordres et son espérance sur le prix, et les comparons aux modèles existants. Utilisant des données haute fréquence pour un échantillon d'actions du NYSE, nous rejetons les spécifications d'anciennes études empiriques basées sur des modèles d'information asymétrique ou de contrôle d'inventaire. En ce qui concerne les articles plus récents -y compris le nôtre- qui prennent en compte les deux effets, notre conclusion dépend de la méthode de régression que nous utilisons. Nous trouvons que nous devons soit rejeter leurs spécifications soit conclure que ce rejet est en fait dû à notre choix d'un proxy  -également utilisé par d'autres articles- pour l'espérance du flot d'ordres."
      "en" => "We develop and estimate a model of transaction price change with asymmetric information and inventory costs. One special feature of our model is that it captures not only the effect of the market-maker's inventory on stock prices but also that of large traders. Moreover it takes into account the interactions between inventory control and information trading. We look at the implications of our model concerning the impact of the order flow and its expected component on the price, and compare them with existing models. Using transactions data for a sample of NYSE stocks, we reject the specifications of early empirical studies of asymmetric information or inventory control models. As for more recent papers -including ours- that account for both effects, our conclusion depends on the regression method we consider. We find that we should either reject their specifications or conclude that this rejection is actually due to our choice of a -commonly used- proxy for the expected order flow."
    ]
    "authors_fields" => array:2 [
      "fr" => "Economie"
      "en" => "Economics"
    ]
    "indexedAt" => "2024-04-19T09:22:05.000Z"
    "docTitle" => "The Dynamic Response of Stock Prices under Asymmetric Information and Inventory Costs: Theory and Evidence"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/lim-jamus">LIM Jamus</a>, CHAU M."
    "docDescription" => "<span class="document-property-authors">LIM Jamus, CHAU M.</span><br><span class="document-property-authors_fields">Economics</span> | <span class="document-property-year">2000</span>"
    "keywordList" => ""
    "docPreview" => "<b>The Dynamic Response of Stock Prices under Asymmetric Information and Inventory Costs: Theory and Evidence</b><br><span>2000-01 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Dynamic Response of Stock Prices under Asymmetric Information and Inventory Costs: Theory and Evidence</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.7911215
  +"parent": null
}