Agenda

Relatrice: Giulia Livieri - Scuola Normale Superiore di Pisa

Abstract: Asset prices recorded at a high frequency are more sluggish than implied by the semi-martingale hypothesis. We propose a new general framework formalizing this phenomenon. We provide a limit theory for Idle-time (an economic indicator for price flatness) and related quantities. This allows to quantify the level of staleness in an asset price adjustment and to test two different hypothesis. First, whether the extent of sluggishness is constant or time-varying. Second, whether the sluggishness is persistent. The empirical application on US stocks provides the evidence that stock price flatness is both time-varying and persistent, especially during the crisis.