RicherFin Research RF-MS-002

Market Microstructure · 01 Sep 2026

BVMAC: Do Stale Prices Understate Risk When Trading Resumes?

Abstract

This study examines whether price staleness, measured as time since the last trade, contains additional information about return risk at the next trade. The empirical design separates a stale-price effect from the normal accumulation of risk over time.

Keywords: stale prices · market microstructure · BVMAC

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2 pages · Empirical Research · Methodology · Results · Robustness

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