https://xumj2021.github.io/tags/market-mirco-structure/ Recent content in Market Mirco-Structure on Democratize Data For Insights Hugo en-us Mon, 21 Nov 2022 00:00:00 +0000 https://xumj2021.github.io/post/an-information-based-decomposition-of-stock-price/ Mon, 21 Nov 2022 00:00:00 +0000 https://xumj2021.github.io/post/an-information-based-decomposition-of-stock-price/ <h2 id="motivation">Motivation</h2> <p>Brogaard et al. (2022, RFS) proposed a new variance decomposition method (hereafter I call it Brogaard decomposition) for stock price volatility, which might be a powerful tool for both accounting and market micro-structure scholars to evaluate the impacts of informatinonal shocks on stock price informativeness. In this blog, I will introduce the potential and intuition of Brogaard decomposition, as well as the theory techniques embedded in this decomposition method.</p>