02096cam a22002657 4500001000600000003000500006005001700011008004100028100002200069245013700091260006600228490004100294500001800335520096200353530006101315538007201376538003601448690011201484700001801596700002501614710004201639830007601681856003701757856003601794w3888NBER20161027210758.0161027s1991 mau||||fs|||| 000 0 eng d1 aHausman, Jerry A.13aAn Ordered Probit Analysis of Transaction Stock Pricesh[electronic resource] /cJerry A. Hausman, Andrew W. Lo, A. Craig MacKinlay. aCambridge, Mass.bNational Bureau of Economic Researchc1991.1 aNBER working paper seriesvno. w3888 aOctober 1991.3 aWe estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. Such an approach takes into account the fact that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly spaced time intervals. Unlike existing continuous-time/discrete-state models of discrete transaction prices, ordered probit can capture the effects of other economic variables on price changes, such as volume, past price changes, and the time between trades. Using 1988 transactions data for over 100 randomly chosen U.S. stocks, we estimate the ordered probit model via maximum likelihood and use the parameter estimates to measure several transaction-related quantities, such as the price impact of trades of a given size, the tendency towards price reversals from one transaction to the next, and the empirical significance of price discreteness. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aG12 - Asset Pricing • Trading Volume • Bond Interest Rates2Journal of Economic Literature class.1 aLo, Andrew W.1 aMacKinlay, A. Craig.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w3888.4 uhttp://www.nber.org/papers/w388841uhttp://dx.doi.org/10.3386/w3888