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Citations of
S Viswanathan

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. 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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Working papers

  1. Acharya, Viral V & Viswanathan, S, 2008. "Moral Hazard, Collateral and Liquidity," CEPR Discussion Papers 6630, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

    Cited by:

    1. Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Jens Eisenschmidt & Jens Tapking, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series 1025, European Central Bank. [Downloadable!]

  2. S. Viswanathan & S. Brusco & G. Lopomo, 2004. "Mergers Mechanisms," Econometric Society 2004 North American Winter Meetings 317, Econometric Society.
    Other versions:

    Cited by:

    1. Albert Banal-Estañol & Jo Seldeslachts, 2005. "Merger Failures," CIG Working Papers SP II 2005-09, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG). [Downloadable!]
    2. Philippe Jehiel & Benny Moldovanu, 2005. "Allocative and Informational Externalities in Auctions and Related Mechanisms," Discussion Papers 142, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
      Other versions:

  3. S. Viswanathan & James J.D. Wang, 2004. "Optimal Bidding in Multi-Unit Discriminatory Auctions: Two Bidders," Econometric Society 2004 North American Winter Meetings 58, Econometric Society.

    Cited by:

    1. Diego García & Branko Urosevic, 2004. "Noise and Aggregation of Information in Large Markets," Economics Working Papers 785, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

Articles

  1. Carlin, Bruce Ian & Dorobantu, Florin & Viswanathan, S., 2009. "Public trust, the law, and financial investment," Journal of Financial Economics, Elsevier, vol. 92(3), pages 321-341, June. [Downloadable!] (restricted)

    Cited by:

    1. Kiridaran Kanagaretnam & Stuart Mestelman & Khalid Nainar & Mohamed Shehata, 2009. "The Impact of Empowering Investors on Trust and Trustworthiness," Department of Economics Working Papers 2009-16, McMaster University. [Downloadable!]

  2. Bruce Ian Carlin & Miguel Sousa Lobo & S. Viswanathan, 2007. "Episodic Liquidity Crises: Cooperative and Predatory Trading," Journal of Finance, American Finance Association, vol. 62(5), pages 2235-2274, October. [Downloadable!] (restricted)

    Cited by:

    1. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy. [Downloadable!]
    2. Kleopatra Nikolaou, 2009. "Liquidity (risk) concepts - definitions and interactions," Working Paper Series 1008, European Central Bank. [Downloadable!]
    3. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April. [Downloadable!] (restricted)
      Other versions:
    4. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany. [Downloadable!]
    5. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
    6. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2009. "On the Scholes Liquidation Problem," NBER Working Papers 15381, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Sandro Brusco & Giuseppe Lopomo & David T. Robinson & S. Viswanathan, 2007. "Efficient Mechanisms For Mergers And Acquisitions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(3), pages 995-1035, 08. [Downloadable!] (restricted)

    Cited by:

    1. Vlad Mares & Mikhael Shor, 2008. "Industry concentration in common value auctions: theory and evidence," Economic Theory, Springer, vol. 35(1), pages 37-56, April. [Downloadable!] (restricted)
    2. Jeremy I. Bulow & Paul D. Klemperer, 2007. "When are Auctions Best?," NBER Working Papers 13268, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Nicolas Figueroa & Vasiliki Skreta, 2007. "What to put in the table," Documentos de Trabajo 237, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
      Other versions:
    4. Albert Banal-Estanol & Paul Heidhues & Rainer Nitsche & Jo Seldeslachts, 2009. "Screening and Merger Activity," Discussion Papers 270, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]

  4. Matthew Rhodes-Kropf & S. Viswanathan, 2005. "Financing Auction Bids," RAND Journal of Economics, The RAND Corporation, vol. 36(4), pages 789-815, Winter.

    Cited by:

    1. Sandro Brusco & Giuseppe Lopomo & S Viswanathan, 2004. "Merger Mechanisms," Levine's Bibliography 122247000000000379, UCLA Department of Economics. [Downloadable!]
      Other versions:
    2. Paul Povel & Rajdeep Singh, 2003. "Bidder Asymmetry in Takeover Contests: The Role of Deal Protection Devices," Finance 0311011, EconWPA. [Downloadable!]
    3. Sandro Brusco & Giuseppe Lopomo, 2004. "Simultaneous Ascending Bid Auctions with Privately Known Budget Constraints," Levine's Bibliography 122247000000000373, UCLA Department of Economics. [Downloadable!]
    4. Peter M. DeMarzo & Ilan Kremer & Andrzej Skrzypacz, 2004. "Bidding With Securities: Auctions and Security Design," NBER Working Papers 10891, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  5. Rhodes-Kropf, Matthew & Robinson, David T. & Viswanathan, S., 2005. "Valuation waves and merger activity: The empirical evidence," Journal of Financial Economics, Elsevier, vol. 77(3), pages 561-603, September. [Downloadable!] (restricted)

    Cited by:

    1. Albert Banal-Estañol & Paul Heidhues & Rainer Nitsche & Jo Seldeslacht, 2006. "Merger Clusters during Economic Booms," City University Economics Discussion Papers 06/07, Department of Economics, City University, London. [Downloadable!]
      Other versions:
    2. Matthew Rhodes-Kropf & David T. Robinson, 2004. "The Market for Mergers and the Boundaries of the Firm," Working Papers 05-18, Utrecht School of Economics. [Downloadable!]
      Other versions:
    3. Gerhard Kling & Utz Weitzel, 2009. "Endogenous mergers: Bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics. [Downloadable!]
    4. Sara B. Moeller & Frederik P. Schlingemann & Rene M. Stulz, 2004. "Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave," NBER Working Papers 10200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Lars Calmfors & Giancarlo Corsetti & Seppo Honkapohja & Gilles Saint-Paul & Hans-Werner Sinn & John Kay & Jan-Egbert Sturm & Xavier Vives, 2006. "Chapter 5: Mergers and Competition Policy in Europe," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 101-116, 03. [Downloadable!]
    6. MING DONG & David Hirshleifer & SCOTT RICHARSON & Siew Hong Teoh, 2004. "Does Investor Misvaluation Drive the Takeover Market?," Finance 0412002, EconWPA. [Downloadable!]
      Other versions:
    7. Lars Calmfors & Giancarlo Corsetti & Seppo Honkapohja & John Kay & Gilles Saint-Paul & Hans-Werner Sinn & Jan-Egbert Sturm & Xavier Vives, 2006. "EEAG European Economic Advisory Group at CESifo: Report on the European Economy 2006," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 1-120, 03. [Downloadable!]
      Other versions:
    8. Gerard Hoberg & Gordon M. Phillips, 2008. "Real and Financial Industry Booms and Busts," NBER Working Papers 14290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Bodnaruk, Andriy & Massa, Massimo & Simonov, Andrei, 2008. "Investment Banks as Insiders and the Market for Corporate Control," CEPR Discussion Papers 6953, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    10. Gary Gorton & Matthias Kahl & Richard Rosen, 2005. "Eat or Be Eaten: A Theory of Mergers and Merger Waves," NBER Working Papers 11364, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. William R. Latham & Helen Bowers, 2005. "Information Asymmetries, Litigation Risk and the Demand for Fairness Opinions: Evidence from U.S. Mergers & Acquisitions, 1980-2002," Working Papers 05-17, University of Delaware, Department of Economics. [Downloadable!]
    12. Richard J. Rosen, 2004. "Merger momentum and investor sentiment: the stock market reaction to merger announcements," Working Paper Series WP-04-07, Federal Reserve Bank of Chicago. [Downloadable!]
    13. Albert Banal-Estanol & Paul Heidhues & Rainer Nitsche & Jo Seldeslachts, 2009. "Screening and Merger Activity," Discussion Papers 270, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
    14. Klaus Gugler & Dennis C. Mueller & B. Burcin Yurtoglu, 2005. "The determinants of merger waves," Working Papers 05-15, Utrecht School of Economics. [Downloadable!]
      Other versions:
    15. Missaka Warusawitharana, 2007. "Corporate asset purchases and sales: theory and evidence," Finance and Economics Discussion Series 2007-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    16. Enrico Diecidue & Jeroen van de Ven & Utz Weitzel, 2008. "Shareholders' expectations, aspiration levels, and mergers," Working Papers 08-06, Utrecht School of Economics. [Downloadable!]
    17. Richard J. Rosen, 2004. "Betcha can’t acquire just one: merger programs and compensation," Working Paper Series WP-04-22, Federal Reserve Bank of Chicago. [Downloadable!]
    18. Ming Dong & David Hirshleifer, 2004. "A Generalized Earnings-Based Stock Valuation Model," Finance 0412008, EconWPA. [Downloadable!]
      Other versions:
    19. Lihong Han & Peter L. Rousseau, 2009. "Technology Shocks, Q, and the Propensity to Merge," Working Papers 0914, Department of Economics, Vanderbilt University. [Downloadable!]

  6. S. Viswanathan & James J. D. Wang, 2004. "Inter-Dealer Trading in Financial Markets," Journal of Business, University of Chicago Press, vol. 77(4), pages 987-1040, October. [Downloadable!]

    Cited by:

    1. Alan Mehlenbacher, 2007. "Multiagent System Simulations of Treasury Auctions," Department Discussion Papers 0709, Department of Economics, University of Victoria. [Downloadable!]
    2. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    3. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de España Occasional Papers 0501, Banco de España. [Downloadable!]
    4. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA. [Downloadable!]

  7. Matthew Rhodes-Kropf & S. Viswanathan, 2004. "Market Valuation and Merger Waves," Journal of Finance, American Finance Association, vol. 59(6), pages 2685-2718, December. [Downloadable!] (restricted)

    Cited by:

    1. Albert Banal-Estañol & Paul Heidhues & Rainer Nitsche & Jo Seldeslacht, 2006. "Merger Clusters during Economic Booms," City University Economics Discussion Papers 06/07, Department of Economics, City University, London. [Downloadable!]
      Other versions:
    2. Matthew Rhodes-Kropf & David T. Robinson, 2004. "The Market for Mergers and the Boundaries of the Firm," Working Papers 05-18, Utrecht School of Economics. [Downloadable!]
      Other versions:
    3. Gerhard Kling & Utz Weitzel, 2009. "Endogenous mergers: Bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics. [Downloadable!]
    4. Flavio Toxvaerd, 2004. "Strategic Merger Waves: A Theory of Musical Chairs," Discussion Paper Series dp359, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
      Other versions:
    5. Sara B. Moeller & Frederik P. Schlingemann & Rene M. Stulz, 2004. "Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave," NBER Working Papers 10200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Lars Calmfors & Giancarlo Corsetti & Seppo Honkapohja & Gilles Saint-Paul & Hans-Werner Sinn & John Kay & Jan-Egbert Sturm & Xavier Vives, 2006. "Chapter 5: Mergers and Competition Policy in Europe," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 101-116, 03. [Downloadable!]
    7. Lars Calmfors & Giancarlo Corsetti & Seppo Honkapohja & John Kay & Gilles Saint-Paul & Hans-Werner Sinn & Jan-Egbert Sturm & Xavier Vives, 2006. "EEAG European Economic Advisory Group at CESifo: Report on the European Economy 2006," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 1-120, 03. [Downloadable!]
      Other versions:
    8. Cain, Matthew D. & Denis, David J. & Denis, Diane K., 2006. "Earnouts: A Study of Financial Contracting in Acquisition Agreements," Purdue University Economics Working Papers 1196, Purdue University, Department of Economics. [Downloadable!]
    9. Bart Lambrecht & Stewart C. Myers, 2005. "A Theory of Takeovers and Disinvestment," NBER Working Papers 11082, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Song, Moon H. & Walkling, Ralph A., 2005. "Anticipation, Acquisitions and Bidder Returns," Working Paper Series 2005-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    11. Molnar, Jozsef, 2007. "Pre-emptive horizontal mergers: theory and evidence," Research Discussion Papers 17/2007, Bank of Finland. [Downloadable!]
      Other versions:
    12. Margsiri, Worawat & Melloy, Antonio S. & Ruckesz, Martin E., 2008. "A Dynamic Analysis of Growth via Acquisition," CEI Working Paper Series 2008-8, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    13. Gerard Hoberg & Gordon M. Phillips, 2008. "Real and Financial Industry Booms and Busts," NBER Working Papers 14290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Martynova, M. & Renneboog, L.D.R., 2008. "What Determines the Financing Decision in Corporate Takeovers: Cost of Capital, Agency Problems or the Means of Payment?," Discussion Paper 2008-66, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    15. Charles van Marrewijk & Gus Garita, 2008. "Countries of a Feather flock together," Tinbergen Institute Discussion Papers 08-067/2, Tinbergen Institute, revised 19 Sep 2008. [Downloadable!]
    16. Gary Gorton & Matthias Kahl & Richard Rosen, 2005. "Eat or Be Eaten: A Theory of Mergers and Merger Waves," NBER Working Papers 11364, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. William R. Latham & Helen Bowers, 2005. "Information Asymmetries, Litigation Risk and the Demand for Fairness Opinions: Evidence from U.S. Mergers & Acquisitions, 1980-2002," Working Papers 05-17, University of Delaware, Department of Economics. [Downloadable!]
    18. Vojislav Maksimovic & Gordon Phillips & N. R. Prabhala, 2008. "Post-Merger Restructuring and the Boundaries of the Firm," NBER Working Papers 14291, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    19. Albert Banal-Estanol & Paul Heidhues & Rainer Nitsche & Jo Seldeslachts, 2009. "Screening and Merger Activity," Discussion Papers 270, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
    20. Klaus Gugler & Dennis C. Mueller & B. Burcin Yurtoglu, 2005. "The determinants of merger waves," Working Papers 05-15, Utrecht School of Economics. [Downloadable!]
      Other versions:
    21. Sugata Ray & Missaka Warusawitharana, 2007. "An efficiency perspective on the gains from mergers and asset purchases," Finance and Economics Discussion Series 2007-39, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    22. Sandro Brusco & Giuseppe Lopomo & S Viswanathan, 2004. "Merger Mechanisms," Levine's Bibliography 122247000000000379, UCLA Department of Economics. [Downloadable!]
      Other versions:
    23. Enrico Diecidue & Jeroen van de Ven & Utz Weitzel, 2008. "Shareholders' expectations, aspiration levels, and mergers," Working Papers 08-06, Utrecht School of Economics. [Downloadable!]
    24. Richard J. Rosen, 2004. "Betcha can’t acquire just one: merger programs and compensation," Working Paper Series WP-04-22, Federal Reserve Bank of Chicago. [Downloadable!]
    25. Frantzeskakis, Kyriakos & Ueda, Masako, 2007. "A Dynamic Equilibrium Model of Firm's Life Cycle and Mergers as Efficient Reallocation," CEPR Discussion Papers 6079, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    26. José Manuel Campa, 2006. "Corporate restructuring and M&A activity," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 7(1), pages 17-21, 04. [Downloadable!]
    27. Jean-Charles Rochet, 2007. "Some economics of horizontal integration in the payments industry," Proceedings – Payments System Research Conferences, Federal Reserve Bank of Kansas City. [Downloadable!]

  8. Viswanathan, S. & Wang, James J. D., 2002. "Market architecture: limit-order books versus dealership markets," Journal of Financial Markets, Elsevier, vol. 5(2), pages 127-167, April. [Downloadable!] (restricted)

    Cited by:

    1. David Abad & Antonio Rubia, 2005. "Modelos De Estimacion De La Probabilidad De Negociacion Informada: Una Comparacion Metodologica En El Mercado Español," Working Papers. Serie EC 2005-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    2. Nuno Cassola & Christian Ewerhart & Claudio Morana, 2007. "Structural econometric approach to bidding in the main refinancing operations of the Eurosystem," Working Paper Series 793, European Central Bank. [Downloadable!]
    3. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Working Papers 02-33, Bank of Canada. [Downloadable!]
    4. Christian Ewerhart & Nuno Cassola & Natacha Valla, 2006. "Declining valuations and equilibrium bidding in central bank refinancing operations," Working Paper Series 668, European Central Bank. [Downloadable!]
      Other versions:
    5. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Banco de España Occasional Papers 0501, Banco de España. [Downloadable!]
    6. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
    7. J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA. [Downloadable!]
    8. Jutta Dönges & Frank Heinemann, 2001. "Competition for Order Flow as a Coordination Game," Working Paper Series: Finance and Accounting 64, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]

  9. Mark Bagnoli & S. Viswanathan & Craig Holden, 2001. "On the Existence of Linear Equilibria in Models of Market Making," Mathematical Finance, Blackwell Publishing, vol. 11(1), pages 1-31. [Downloadable!] (restricted)

    Cited by:

    1. Georg Nöldeke & Thomas Tröger, 2005. "A Characterization of the Distributions That Imply Existence of Linear Equilibria in the Kyle-Model," Discussion Papers 43, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
      Other versions:
    2. Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla, 2007. "Manipulation in Money Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 3(1), pages 113-148, March. [Downloadable!]
      Other versions:
    3. Georg Nöldeke & Thomas Tröger, 2001. "Existence of Linear Equilibria in the Kyle Model with Multiple Informed Traders," Bonn Econ Discussion Papers bgse1_2001, University of Bonn, Germany. [Downloadable!]
      Other versions:
    4. Matos, Joao Amaro de & Lacerda, Ana, 2006. "Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets," FEUNL Working Paper Series wp480, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
    5. Georg Nöldeke & Thomas Tröger, 2004. "On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making," Bonn Econ Discussion Papers bgse19_2004, University of Bonn, Germany. [Downloadable!]

  10. Matthew Rhodes-Kropf & S. Viswanathan, 2000. "Corporate Reorganizations and Non-Cash Auctions," Journal of Finance, American Finance Association, vol. 55(4), pages 1807-1854, 08. [Downloadable!] (restricted)

    Cited by:

    1. Bebchuk, Lucian Arye, 2001. "Ex Ante Costs of Violating Absolute Priority in Bankruptcy," CEPR Discussion Papers 2914, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Jose E. Quintero Jaramillo, 2004. "Liquidity Constraints And Credit Subsidies In Auctions," Business Economics Working Papers wb040604, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    3. Cornelli, Francesca & Felli, Leonhard, 2000. "How to Sell a (Bankrupt) Company," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    4. Sandro Brusco & Giuseppe Lopomo & S Viswanathan, 2004. "Merger Mechanisms," Levine's Bibliography 122247000000000379, UCLA Department of Economics. [Downloadable!]
      Other versions:
    5. Hege, Ulrich & Lovo, Stefano & Slovin, Myron & Sushka, Marie, 2006. "Equity and cash in intercorporate asset sales : theory and evidence," Les Cahiers de Recherche 859, HEC Paris. [Downloadable!]
      Other versions:
    6. Paul Povel & Rajdeep Singh, 2003. "Bidder Asymmetry in Takeover Contests: The Role of Deal Protection Devices," Finance 0311011, EconWPA. [Downloadable!]
    7. Kenneth Ayotte & Hayong Yun, . "Matching Bankruptcy Laws to Legal Environments," American Law & Economics Association Annual Meetings 1018, American Law & Economics Association. [Downloadable!]
    8. Peter M. DeMarzo & Ilan Kremer & Andrzej Skrzypacz, 2004. "Bidding With Securities: Auctions and Security Design," NBER Working Papers 10891, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  11. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1999. "Preferencing, Internalization, Best Execution, and Dealer Profits," Journal of Finance, American Finance Association, vol. 54(5), pages 1799-1828, October. [Downloadable!] (restricted)

    Cited by:

    1. Lucy F. Ackert & Bryan K. Church, 1998. "Bid-ask spreads in multiple dealer settings: Some experimental evidence," Working Paper 98-9, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    2. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School. [Downloadable!]
    3. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
      Other versions:

  12. Naik, Narayan Y & Neuberger, Anthony & Viswanathan, S, 1999. "Trade Disclosure Regulations in Markets with Negotiated Trades," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 873-900.

    Cited by:

    1. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    2. Ramadorai, Tarun, 2006. "Persistence, Performance and Prices in Foreign Exchange Markets," CEPR Discussion Papers 5861, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    3. Nicolas Audet & Toni Gravelle & Jing Yang, 2002. "Alternative Trading Systems: Does One Shoe Fit All?," Working Papers 02-33, Bank of Canada. [Downloadable!]
    4. Dunne, Peter & Moore, Michael J. & Portes, Richard, 2006. "An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets," Research Technical Papers 9/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    5. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    6. Tarun Ramadorai, 2008. "What determines transaction costs in foreign exchange markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 14-25. [Downloadable!]
    7. Degryse, H.A., 2007. "Competition on Financial Markets: Does Market Design Matter?," Discussion Paper 2007-004, Tilburg University, Tilburg Law and Economic Center. [Downloadable!]

  13. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1998. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, American Finance Association, vol. 53(5), pages 1623-1656, October. [Downloadable!] (restricted)

    Cited by:

    1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
      Other versions:
    2. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    3. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Quantitative Finance Papers cond-mat/0012419, arXiv.org. [Downloadable!]
    4. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    5. Martin D. D. Evans & Richard K. Lyons, 2003. "Are Different-Currency Assets Imperfect Substitutes?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    6. Karl Friedrich Habermeier & Andrei Kirilenko, . "Securities Transaction Taxes and Financial Markets," IMF Working Papers 01/51, International Monetary Fund. [Downloadable!]
    7. Osler, Carol & Mende, Alexander & Menkhoff, Lukas, 2006. "Price Discovery in Currency Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-351, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    8. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
      Other versions:

  14. Foster, F Douglas & Viswanathan, S, 1996. " Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-78, September. [Downloadable!] (restricted)

    Cited by:

    1. Craig Holden & Avanidhar Subrahmanyam, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management 1115, Anderson Graduate School of Management, UCLA. [Downloadable!]
    2. Martin Barner & Francesco Feri & Charles R. Plott, 2005. "On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market," Annals of Finance, Springer, vol. 1(1), pages 73-107, 01. [Downloadable!] (restricted)
    3. Lones Smith, 2000. "Private Information and Trade Timing," American Economic Review, American Economic Association, vol. 90(4), pages 1012-1018, September. [Downloadable!] (restricted)
      Other versions:
    4. Roberto Monte & Barbara Trivellato, 2009. "An equilibrium model of insider trading in continuous time," Decisions in Economics and Finance, Springer, vol. 32(2), pages 83-128, November. [Downloadable!] (restricted)
    5. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June. [Downloadable!]
      Other versions:
    6. Noeth, Markus & Camerer, Colin F. & Plott, Charles R. & Webber, Martin, 1999. "Information Aggregation in Experimental Asset Markets: Traps and Misaligned Beliefs," Working Papers 1060, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    7. Spyros Pagratis, . "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England. [Downloadable!]
    8. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    9. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," Boston College Working Papers in Economics 692, Boston College Department of Economics. [Downloadable!]
      Other versions:
    10. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
    11. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, HEC Paris. [Downloadable!]
      Other versions:
    12. Lucy F. Ackert & Bryan K. Church & Ping Zhang, 2002. "Asset prices and informed traders' abilities: evidence from experimental asset markets," Working Paper 2002-26, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    13. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach

      The views presented in the paper are not necessarily shared by," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470. [Downloadable!]

    14. Dan Bernhardt & Bart Taub, 2006. "Kyle v. Kyle (’85 v. ’89)," Annals of Finance, Springer, vol. 2(1), pages 23-38, January. [Downloadable!] (restricted)
    15. Roberto Serrano & Yusuke Kamishiro, 2009. "Equilibrium Blocking In Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI. [Downloadable!]
      Other versions:
    16. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term information, short-lived derivative securities," Working Papers 994, Queen's University, Department of Economics. [Downloadable!]
    17. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research Department. [Downloadable!]
    18. Lucy F. Ackert & Bryan K. Church, 1998. "The effects of subject pool and design experience on rationality in experimental asset markets," Working Paper 98-18, Federal Reserve Bank of Atlanta. [Downloadable!]
    19. Elizabeth Demers & Clara Vega, 2008. "Soft information in earnings announcements: news or noise?," International Finance Discussion Papers 951, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    20. Barner, Martin & Feri, Francesco & Plott, Charles, 2004. "On the Microstructure of Price Determination and Information Aggregation with Sequential and Asymmetric Information Arrival in an Experimental Asset Market," Working Papers 1204, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
    21. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
    22. Todd B. Walker, 2005. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," Finance 0509021, EconWPA. [Downloadable!]
      Other versions:
    23. Bacchetta, Philippe & van Wincoop, Eric, 2008. "Higher Order Expectations in Asset Pricing," CEPR Discussion Papers 6648, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Sara Fisher Ellison & Wallace P. Mullin, 1997. "Gradual Incorporation of Information into Stock Prices: Empirical Strategies," NBER Working Papers 6218, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Ramdan Dridi & Laurent Germain, 2000. "Noise and Competition in Strategic Oligopoly," STICERD - Econometrics Paper Series /2000/395, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    26. Hua He & Jiang Wang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," NBER Working Papers 5010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Kyung-Ha Cho & Nicole El Karoui, 2000. "Insider Trading and Nonlinear Equilibria: Single Auction Case," Annales d'Economie et de Statistique, ADRES, issue 60, pages 03, Octobre-D. [Downloadable!]
    28. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  15. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 379-96, October.

    Cited by:

    1. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    2. Yacine Ait-Sahalia, 1996. "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers 5479, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Fabrice Collard & Patrick Fève & François Langot & Corinne Perraudin, 2002. "A structural model of US aggregate job flows," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 197-223. [Downloadable!]
      Other versions:
    4. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005. "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers 0507, Department of Economics, University of Missouri, revised 18 Aug 2005. [Downloadable!]
      Other versions:
    6. Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
      Other versions:
    7. Joel Hasbrouck & Duane J. Seppi, 1998. "Common Factors in Prices, Order Flows and Liquidity," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-011, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    8. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem, 2006. "Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 165-171, May. [Downloadable!] (restricted)

  16. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 499-518, December. [Downloadable!]

    Cited by:

    1. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York. [Downloadable!]
    2. Min-Hsien Chiang & Cheng-Hsiang Wang, 2004. "Intradaily relationship between information revelation and trading duration under market trends: the evidence of MSCI Taiwan stock index futures," Applied Economics Letters, Taylor and Francis Journals, vol. 11(8), pages 495-501, June. [Downloadable!] (restricted)
    3. Dan Bernhardt & Bart Taub, 2006. "Kyle v. Kyle (’85 v. ’89)," Annals of Finance, Springer, vol. 2(1), pages 23-38, January. [Downloadable!] (restricted)
    4. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term information, short-lived derivative securities," Working Papers 994, Queen's University, Department of Economics. [Downloadable!]
    5. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    6. Nam, Jouahn & Wang, Jun & Zhang, Ge, 2004. "Strategic trading against retail investors with disposition effects," Working Papers 2004-11, University of New Orleans, Department of Economics and Finance. [Downloadable!]
    7. Henry L. Bryant & Michael S. Haigh, 2004. "Bid-ask spreads in commodity futures markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 923-936, September. [Downloadable!] (restricted)
    8. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    9. Ramdan Dridi & Laurent Germain, 2000. "Noise and Competition in Strategic Oligopoly," STICERD - Econometrics Paper Series /2000/395, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

  17. McCardle, Kevin F & Viswanathan, S, 1994. "The Direct Entry versus Takeover Decision and Stock Price Performance around Takeovers," Journal of Business, University of Chicago Press, vol. 67(1), pages 1-43, January. [Downloadable!] (restricted)

    Cited by:

    1. Matthew Rhodes-Kropf & David T. Robinson, 2004. "The Market for Mergers and the Boundaries of the Firm," Working Papers 05-18, Utrecht School of Economics. [Downloadable!]
      Other versions:
    2. Sara B. Moeller & Frederik P. Schlingemann & Rene M. Stulz, 2004. "Wealth Destruction on a Massive Scale? A Study of Acquiring-Firm Returns in the Recent Merger Wave," NBER Working Papers 10200, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Jeremy I. Bulow & Paul D. Klemperer, 2007. "When are Auctions Best?," NBER Working Papers 13268, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Sara B. Moeller & Frederik P. Schlingemann & Rene M. Stulz, 2004. "Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions?," NBER Working Papers 10773, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Eric Van Tassel & Sharmila Vishwasrao, 2006. "Asymmetric Information and the Mode of Entry In Foreign Credit Markets," Working Papers 06002, Department of Economics, College of Business, Florida Atlantic University. [Downloadable!]
      Other versions:
    6. Margsiri, Worawat & Melloy, Antonio S. & Ruckesz, Martin E., 2008. "A Dynamic Analysis of Growth via Acquisition," CEI Working Paper Series 2008-8, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    7. Sara B. Moeller & Frederik P. Schlingemann & Rene M. Schultz, 2004. "Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions?," Working Papers 05-17, Utrecht School of Economics. [Downloadable!]
    8. Boyan Jovanovic & Serguey Braguinsky, 2002. "Bidder Discounts and Target Premia in Takeovers," NBER Working Papers 9009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Gary Gorton & Matthias Kahl & Richard Rosen, 2005. "Eat or Be Eaten: A Theory of Mergers and Merger Waves," NBER Working Papers 11364, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Moeller, Sara B. & Schilngemann, Frederik P. & Stulz, Rene M., 2004. "Do Acquirers with More Uncertain Growth Prospects Gain Less from Acquisitions?," Working Paper Series 2004-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

  18. Bansal, Ravi & Viswanathan, S, 1993. " No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, American Finance Association, vol. 48(4), pages 1231-62, September. [Downloadable!] (restricted)

    Cited by:

    1. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]
    2. Steve Satchell, 1999. "The Small Noise Arbitrage Pricing Theory," Research Paper Series 4, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    3. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
      Other versions:
    4. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    5. Eric Ghysels & Serena Ng, 1996. "A Semi-Parametric Factor Model for Interest Rates," CIRANO Working Papers 96s-18, CIRANO. [Downloadable!]
      Other versions:
    6. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    7. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Working Papers 06-38, Bank of Canada. [Downloadable!]
    9. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO. [Downloadable!]
      Other versions:
    11. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    12. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," Research Paper ERS-2002-50-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    13. Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    15. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2). [Downloadable!]
    16. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
    17. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute. [Downloadable!]
    18. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    19. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    20. Bing-Huei Lin & Jerry M. C. Wang, 2003. "Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market," Applied Economics, Taylor and Francis Journals, vol. 35(17), pages 1877-1887, November. [Downloadable!] (restricted)

  19. Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 23-56. [Downloadable!] (restricted)

    Cited by:

    1. George J. Mailath & Georg Noldeke, 2007. "Does Competitive Pricing Cause Market Breakdown under Extreme Adverse Selection?," PIER Working Paper Archive 07-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
    2. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    3. Craig Holden & Avanidhar Subrahmanyam, 1998. "New Events, Information Acquisition, and Serial Correlation," University of California at Los Angeles, Anderson Graduate School of Management 1115, Anderson Graduate School of Management, UCLA. [Downloadable!]
    4. Alan Morrison & Nir Vulkan, 2003. "Making Money out of Publicly Available Information," OFRC Working Papers Series 2003fe07, Oxford Financial Research Centre. [Downloadable!]
      Other versions:
    5. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Georg Nöldeke & Thomas Tröger, 2006. "A characterization of the distributions that imply existence of linear equilibria in the Kyle-model," Annals of Finance, Springer, vol. 2(1), pages 73-85, January. [Downloadable!] (restricted)
      Other versions:
    7. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece. [Downloadable!]
    8. Spyros Pagratis, . "Asset pricing, asymmetric information and rating announcements: does benchmarking on ratings matter?," Bank of England working papers 265, Bank of England. [Downloadable!]
    9. Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, EconWPA. [Downloadable!]
      Other versions:
    10. Burkart Mönch, 2009. "Liquidating large security positions strategically: a pragmatic and empirical approach," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 157-186, June. [Downloadable!] (restricted)
    11. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York. [Downloadable!]
    12. Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper 02-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    13. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, HEC Paris. [Downloadable!]
      Other versions:
    14. Marc-Andreas Muendler, 2005. "Rational Information Choice in Financial Market Equilibrium," University of California at San Diego, Economics Working Paper Series 2005-04, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    15. Georg Nöldeke & Thomas Tröger, 2001. "Existence of Linear Equilibria in the Kyle Model with Multiple Informed Traders," Bonn Econ Discussion Papers bgse1_2001, University of Bonn, Germany. [Downloadable!]
      Other versions:
    16. Tyrone Callahan, 1998. "The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency"," University of California at Los Angeles, Anderson Graduate School of Management 1120, Anderson Graduate School of Management, UCLA. [Downloadable!]
    17. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
    18. Georg Nöldeke & Thomas Tröger, 2004. "On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making," Bonn Econ Discussion Papers bgse19_2004, University of Bonn, Germany. [Downloadable!]
    19. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:

  20. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December. [Downloadable!] (restricted)

    Cited by:

    1. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
      Other versions:
    2. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    3. Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993. "Econometric Evaluation of Asset Pricing Models," NBER Technical Working Papers 0145, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn. [Downloadable!]
    5. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
      Other versions:
    6. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Wayne E. Ferson & Campbell R. Harvey, 1993. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Working Papers 4595, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    8. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    9. Geert Bekaert & Michael S. Urias, 1996. "Diversification, Integration and Emerging Market Closed-End Funds," NBER Working Papers 4990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January. [Downloadable!] (restricted)
    11. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 1994. "What Determines Expected International Asset Returns?," NBER Working Papers 4660, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis. [Downloadable!]
    13. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    15. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York. [Downloadable!]
    16. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Oxelheim, Lars, 2000. "Routes to Equity Market Integration - The Interplay between Politicians, Investors and Managers," Working Paper Series 526, Research Institute of Industrial Economics. [Downloadable!]
      Other versions:
    19. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society. [Downloadable!]
    20. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October. [Downloadable!] (restricted)

  21. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March. [Downloadable!] (restricted)

    Cited by:

    1. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    3. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2008. "Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability," NBER Working Papers 14160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Güray Küçükkocaoglu, 2008. "Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 5(1), pages 46-84, April. [Downloadable!]
    6. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics. [Downloadable!]
    7. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    8. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
    10. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada. [Downloadable!]
    11. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507008, EconWPA. [Downloadable!]
    12. Hans Gerhard Heidle, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy. [Downloadable!]
    13. Stefania Albanesi & Barbara Rindi, 2000. "The Quality of the Italian Treasury Bond Market, Asymmetric Information and Transaction Costs," Annales d'Economie et de Statistique, ADRES, issue 60, pages 02, Octobre-D. [Downloadable!]
    14. Eric Ghysels & Christian Gourieroux & Joann Jasiak, 2000. "Causality between Returns and Traded Volumes," Annales d'Economie et de Statistique, ADRES, issue 60, pages 09, Octobre-D. [Downloadable!]
    15. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    17. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    18. Robert F. Engle & Joe Lange, 1997. "Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market," NBER Working Papers 6129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    19. Simon H. Kwan & Mark J. Flannery & M. Nimalendran, 1999. "Market evidence on the opaqueness of banking firms' assets," Working Papers in Applied Economic Theory 99-11, Federal Reserve Bank of San Francisco. [Downloadable!]
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    20. Alexander Gümbel, 2001. "Emerging Markets and Entry by Actively Managed Funds," OFRC Working Papers Series 2001fe12, Oxford Financial Research Centre. [Downloadable!]
    21. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research Department. [Downloadable!]
    22. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    23. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 44, Stockholm School of Economics. [Downloadable!]
    24. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
    25. K.C. Chan & Wai-Ming Fong & Rene M. Stulz, 1994. "Information, Trading and Stock Returns: Lessons from Dually-Listed Securities," NBER Working Papers 4743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    26. A. Abhyankar, L.S. Copeland, W. Wong, 1999. "LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market," European Journal of Finance, Taylor and Francis Journals, vol. 5(2), pages 123-139, June. [Downloadable!] (restricted)
    27. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    28. Spierdijk, L. & Nijman, T.E. & Soest, A.H.O., 2002. "The price impact of trades in illiquid stocks in periods of high and low market activity," Discussion Paper 29, Tilburg University, Center for Economic Research. [Downloadable!]
    29. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    30. Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001. "Cross-listing, Price Discovery and the Informativeness of the Trading Process," Business Economics Working Papers wb014511, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
      Other versions:
    31. Emilio Barucci & Claudio Impenna & Roberto Reno, 2003. "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers) 475, Bank of Italy, Economic Research Department. [Downloadable!]
    32. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    33. M. A. Martínez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 173-186, February. [Downloadable!] (restricted)
    34. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507009, EconWPA. [Downloadable!]
    35. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics. [Downloadable!]
      Other versions:

  22. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 593-624. [Downloadable!] (restricted)

    Cited by:

    1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
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    2. Harvey, Campbell R. & Huang, Roger D., 2002. "The impact of the Federal Reserve Bank's open market operations," Journal of Financial Markets, Elsevier, vol. 5(2), pages 223-257, April. [Downloadable!] (restricted)
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    3. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 22(1), pages 59-70, June. [Downloadable!]
    4. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Boccard, N. & Calcagno, R., 1999. "Asymmetries of information in centralized order-driven markets," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1999016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
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    6. Itay Goldstein & Assaf Razin, 2003. "An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare," NBER Working Papers 9426, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    7. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank. [Downloadable!]
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    8. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    10. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," CSEF Working Papers 174, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    11. Josep Garcia Blandón, 2001. "New Findings Regarding Return Autocorrelation Anomalies and the Importance of Non-trading Periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    12. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada. [Downloadable!]
    14. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
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    15. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
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    18. Joel Hasbrouck & Duane J. Seppi, 1998. "Common Factors in Prices, Order Flows and Liquidity," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-011, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    19. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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    20. Itay Goldstein & Assaf Razin, 2005. "An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment," NBER Working Papers 11757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    21. Alfonso Dufour & Robert Engle, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series 1999-15, Department of Economics, UC San Diego. [Downloadable!]
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    22. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    23. Itay Goldstein & Assaf Razin, 2005. "Foreign Direct Investment vs. Foreiegn Portfolio Investment," NBER Working Papers 11047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Bjonnes, Geir H. & Rime, Dagfinn & Solheim, Haakon O. Aa., 2002. "Volume and Volatility in the FX-Market: Does it matter who you are?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    25. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    26. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
    27. Ingmar Nolte & Sandra Lechner, 2007. "Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform," CoFE Discussion Paper 07-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    28. Aditya Goenka, 2000. "Informed Trading and the "Leakage" of Information," Economics Discussion Papers 528, University of Essex, Department of Economics. [Downloadable!]
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    29. H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    30. M. A. Martínez & M. Tapia & J. Yzaguirre, 2005. "Information transmission around block trades on the Spanish stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 173-186, February. [Downloadable!] (restricted)
    31. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
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