Stale price

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Stale price

An old price of the asset that does not reflect the most recent information.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Stale Price

The current price of an asset that does not reflect recently revealed or other available information. The stale price is unlikely to remain stale as the market absorbs the information and reflects it in the price. Analysts disagree on how long this takes, as different versions of the efficient markets hypothesis state that the stale price either evaporates quickly, or does not exist at all.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
Stale Prices: Empirical studies generally require a series of current prices, and, unless the price formation process is observed continuously, this is impossible to achieve and stale prices must be used.
If the aim is to produce a price series that is regularly spaced in clock time (say every 15 minutes), there may not be trades or quotes at these precise times, and the most recent price is usually used as a proxy for the current price, resulting in at least some stale price is usually used as a proxy for the current price, resulting in at least some stale price observations.
This is most helpful for ETFs that invest in domestic securities, however, because the INAV may reflect stale prices of foreign securities in markets that are closed.
That means that the fund's current net asset value relies on stale prices for 24 stocks out of a total of 28.
Unlike hedge funds, which as unregulated or loosely regulated entities selling mainly to sophisticated investors can afford to value a portfolio infrequently and even make use of stale prices, mutual funds are regulated entities obliged to produce a daily NAV using the most accurate, clean and up-to-date prices available.
Asness, Krail, and Liew [16] argue that the presence of stale prices due to illiquidity or managed pricing can artificially reduce estimates of volatility and correlation with traditional indices.
They include self-selection bias, instant history or backfilling bias, survivorship bias, stale price bias, and multi-period sampling bias.
Other investors were allowed to conduct market timing trades to take advantage of stale prices used by funds to calculate their net asset values at funds with stated policies against such trading.
Mutual fund prices become outdated, or "stale." Someone who can buy or sell to exploit the gap between stale prices and real prices - a "market timer" - can make a killing.
Yet, clearly premiums exist and cannot be explained away as artifacts of stale prices.
As a result any nontrading bias in the basis due to stale prices should be small.