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Zeros
1 : Carey Business School, Johns Hopkins University
2 : Università di Roma Tor Vergata
3 : Department of Economics - University of Verona
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Website
Via dellÁrtigliere 8, 37129 Verona -
Italy
Asset prices can be stale. We define price “staleness” as lack of price adjustments yielding zero returns (i.e., zeros). The term “idleness” (resp. “near idleness”) is, instead, used to define staleness when trading activity is absent (resp. close to absent). We show that zeros are a genuine economic phenomenon linked to trading volumes and liquidity. Zeros are, in general, not the result of institutional features, like price discreteness. Spells of idleness or near idleness are stylized facts suggestive of a key, omitted market friction in the modeling of asset prices.
