BACK AND ANDERSEN – LONGLIVED INFORMATION & INTRADAY PATTERN (ARTICLE)

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity trading, (ii) there are no systematic patterns in the price impacts of orders, and (iii) the timing of information arrival is unimportant. Result (i) is the same as that obtained byAdmati and Pfleiderer (1988) in a model of short-lived private information, but (ii) and (iii) are different.

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