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Informed trading and the consistent enforcement hypothesis: Evidence from bid-ask spreads in France and Britain

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  • Maisondieu-Laforge, Olivier
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 17 (2007)
    Issue (Month): 3 (March)
    Pages: 439-453

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    Handle: RePEc:eee:glofin:v:17:y:2007:i:3:p:439-453

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
    2. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Janchung Wang & Hsinan Hsu, 2006. "Degree of market imperfection and the pricing of stock index futures," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(3), pages 245-258.
    4. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 69-90, September.
    5. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    6. Utpal Bhattacharya & Hazem Daouk, 2002. "The World Price of Insider Trading," Journal of Finance, American Finance Association, American Finance Association, vol. 57(1), pages 75-108, 02.
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