Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transaction...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
2006
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