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How do quotes and prices evolve around isolated informed trades?

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  • A. Inci

    ()

  • H. Seyhun

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s12197-010-9146-7
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 2 (April)
    Pages: 499-519

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    Handle: RePEc:spr:jecfin:v:36:y:2012:i:2:p:499-519

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    Related research

    Keywords: Informed Trading; Market Microstructure; Intraday Order Flows; G14; D82; D83;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Jaffe, Jeffrey F, 1974. "Special Information and Insider Trading," The Journal of Business, University of Chicago Press, vol. 47(3), pages 410-28, July.
    2. Garfinkel, Jon A. & Nimalendran, M., 2003. "Market Structure and Trader Anonymity: An Analysis of Insider Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 591-610, September.
    3. Chiang, Raymond & Venkatesh, P C, 1988. " Insider Holdings and Perceptions of Information Asymmetry: A Note," Journal of Finance, American Finance Association, vol. 43(4), pages 1041-48, September.
    4. Cornell, Bradford & Sirri, Erik R, 1992. " The Reaction of Investors and Stock Prices to Insider Trading," Journal of Finance, American Finance Association, vol. 47(3), pages 1031-59, July.
    5. Chakravarty, Sugato & McConnell, John J., 1998. "Does Insider Trading Really Move Stock Prices?," Purdue University Economics Working Papers 1114, Purdue University, Department of Economics.
    6. Finnerty, Joseph E, 1976. "Insiders and Market Efficiency," Journal of Finance, American Finance Association, vol. 31(4), pages 1141-48, September.
    7. Meulbroek, Lisa K, 1992. " An Empirical Analysis of Illegal Insider Trading," Journal of Finance, American Finance Association, vol. 47(5), pages 1661-99, December.
    8. 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.
    9. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    10. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
    11. Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, vol. 31(2), pages 573-85, May.
    12. Rozeff, Michael S & Zaman, Mir A, 1988. "Market Efficiency and Insider Trading: New Evidence," The Journal of Business, University of Chicago Press, vol. 61(1), pages 25-44, January.
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