Grant: Research Grants - Management, Business and Finance
Brock University
$50,392.00
Order flow, price-impact parameters, and asset pricing: evidence from intradaily data
EF 2008-09
Programme
Research Grants - Management, Business and Finance
Bénéficiaire
Emplacement
Ontario, Canada
Type de bénéficiaire
Academia
Type
Grant
Source
SSHRC's Expenditures File
Tel que publié
Cle
50776
Name nom
Huh, Sahn-Wook
Role
Applicant
Award amount
50392.00
Fiscal year exercice financier
2008
Institution
Brock University
Établissement
Brock University
Province id
ON
Province en
Ontario
Province fr
Ontario
Competition year
2007
Title
Order flow, price-impact parameters, and asset pricing: evidence from intradaily data
Keywords
intradaily order flow; price-impact parameters; trading costs; risk-adjusted returns; determinants of illiquidity; AR(1)-adjusted t-statistic; asset pricing; Fama-MacBeth cross-sectional regressions; state space model and Kalman filter
Program name en
Research Grants - Management, Business and Finance
Program name fr
Subventions de recherche - Gestion, administration et finances
Discipline en
Finance, Banking, Insurance
Discipline fr
Finances, assurances, systèmes bancaires
Main discipline en
Management, Business, Administrative Studies
Main discipline fr
Sciences administratives, gestion des affaires et commerce
Area of research en
Management
Area of research fr
Gestion )
