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Endogenous market statistics and security pricing:: An empirical investigation

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  • George, Thomas J.
  • Hwang, Chuan-Yang
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 1 (1998)
    Issue (Month): 3-4 (September)
    Pages: 285-319

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    Handle: RePEc:eee:finmar:v:1:y:1998:i:3-4:p:285-319

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    Web page: http://www.elsevier.com/locate/finmar

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    1. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
    2. Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, vol. 9(3), pages 221-235, September.
    3. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    4. Forster, Margaret M. & George, Thomas J., 1995. "Trading hours, information flow, and international cross-listing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 19-34.
    5. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    6. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
    7. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    8. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    9. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
    10. Chris J. Leach & Ananth N. Madhavan, . "Price Experimentation and Security Market Structure," Rodney L. White Center for Financial Research Working Papers 20-92, Wharton School Rodney L. White Center for Financial Research.
    11. Forster, Margaret M. & George, Thomas J., 1996. "Pricing Errors at the NYSE Open and Close: Evidence from Internationally Cross-Listed Stocks," Journal of Financial Intermediation, Elsevier, vol. 5(2), pages 95-126, April.
    12. Sanford Grossman, 1978. "Further results on the informational efficiency of competitive stock markets," Special Studies Papers 114, Board of Governors of the Federal Reserve System (U.S.).
    13. Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
    14. Grossman, Sanford, 1978. "Further results on the informational efficiency of competitive stock markets," Journal of Economic Theory, Elsevier, vol. 18(1), pages 81-101, June.
    15. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    16. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-56.
    17. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-53.
    18. Franklin Allen & Risto Karjalainen, . "Using Genetic Algorithms to Find Technical Trading Rules (Revision of 20-93)," Rodney L. White Center for Financial Research Working Papers 20-95, Wharton School Rodney L. White Center for Financial Research.
    19. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
    20. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
    21. Admati, Anat R, 1985. "A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets," Econometrica, Econometric Society, vol. 53(3), pages 629-57, May.
    22. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    23. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October.
    24. Verrecchia, Robert E, 1982. "Information Acquisition in a Noisy Rational Expectations Economy," Econometrica, Econometric Society, vol. 50(6), pages 1415-30, November.
    25. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
    26. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
    27. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    28. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
    29. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 191-212.
    30. Conrad, Jennifer & Kaul, Gautam & Nimalendran, M., 1991. "Components of short-horizon individual security returns," Journal of Financial Economics, Elsevier, vol. 29(2), pages 365-384, October.
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