文档介绍：Private Information, Trading
Volume, and Stock-Return
Variances
Michael J. Barclay
University of Rochester
Robert H. Litzenberger
Wharton School
University of Pennsylvania
Jerold B. Warner
University of Rochester
New evidence is provided on the determinants of
stock-return variances. First, when the Tokyo Stock
Exchange is open on Saturday, the weekend vari-
ance increases; weekly variance is unaffected
however, despite an increase in weekly volume.
Second, the listing of . stocks in Tokyo substan-
tially increases the number of trading hours, but
Tokyo volume is negligible for these . stocks and
their 24-hour variance is unaffected. The overall
results are consistent with the predictions of pri-
vate-information-based rational trading models,
but inconsistent with both the irrational trading
noise and public-information hypotheses.
Support for this research was provided by the Managerial Economics Research
Center at the University of Rochester (Barclay and Warner). The authors
thank Fischer Black, Harry DeAngelo, Eugene Fama, h French, Michael
Gibbons, Ronen Israel, Craig MacKinlay, Wayne Mikkelson, John Long, Bill
Schwert, Jay Shanken, Ross Warts, Mark Weinstein, Jerold Zimmerman, sem-
inar participants at the University of Chicago, Harvard Business School, the
University of Michigan, Ohio State University, the University of Rochester,
Stanford University, and the Wharton School of the University of Pennsyl-
vania, and an anonymous referee for ments. We are especially
grateful to Tomio Aral of Nomura Securities, Inc., for helpful discussions
and for providing some of the data. Address reprint requests to Michael J.
Barclay, Assistant Professor of Business Administration, University of Roch-
ester, Rochester, NY 14627.
The Review of Financial Studies 1990 Volume 3, number 2, pp. 233-253
© 1990 The Review of Financial Studies 0893-9454/90/$
Return variances mon stocks are higher during trading tha