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Evidence on the speed of convergence to market efficiency

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Author Info
Chordia, Tarun
Roll, Richard
Subrahmanyam, Avanidhar
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File URL: http://www.sciencedirect.com/science/article/B6VBX-4FDMYJG-1/2/b339120b0dc8231c3d6bffd4a6c8d8ea
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 76 (2005)
Issue (Month): 2 (May)
Pages: 271-292
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Handle: RePEc:eee:jfinec:v:76:y:2005:i:2:p:271-292

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Web page: http://www.elsevier.com/locate/inca/505576

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  2. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008. [Downloadable!]
  3. Du, Yan & Liu, Qianqiu & Rhee, S. Ghon, 2006. "An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data," CEI Working Paper Series 2005-17, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  4. Vinay Datar & Raymond So & Yiuman Tse, 2008. "Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 379-393, November. [Downloadable!] (restricted)
  5. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2005. "Correlated Trading and Returns," DNB Working Papers 072, Netherlands Central Bank, Research Department. [Downloadable!]
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