IDEAS home Printed from https://ideas.repec.org/f/c/pre215.html
   My authors  Follow this author

Mark J. Ready

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Odders-White, Elizabeth R. & Ready, Mark J., 2008. "The probability and magnitude of information events," Journal of Financial Economics, Elsevier, vol. 87(1), pages 227-248, January.

    Cited by:

    1. George Jiang & Ingrid Lo, 2011. "Private Information Flow and Price Discovery in the U.S. Treasury Market," Staff Working Papers 11-5, Bank of Canada.
    2. Menkhoff, Lukas & Schmeling, Maik, 2010. "Trader see, trader do: How do (small) FX traders react to large counterparties' trades?," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1283-1302, November.
    3. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
    4. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
    5. Robert Czech & Gábor Pintér, 2020. "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers 2032, Centre for Macroeconomics (CFM).
    6. Travis L. Johnson & Eric C. So, 2018. "A Simple Multimarket Measure of Information Asymmetry," Management Science, INFORMS, vol. 64(3), pages 1055-1080, March.
    7. Yang, Yung Chiang & Zhang, Bohui & Zhang, Chu, 2020. "Is information risk priced? Evidence from abnormal idiosyncratic volatility," Journal of Financial Economics, Elsevier, vol. 135(2), pages 528-554.
    8. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    9. Erik J. Mayer, 2021. "Advertising, investor attention, and stock prices: Evidence from a natural experiment," Financial Management, Financial Management Association International, vol. 50(1), pages 281-314, March.
    10. Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
    11. Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
    12. Grullon, Gustavo & Kaba, Yamil & Núñez-Torres, Alexander, 2020. "When low beats high: Riding the sales seasonality premium," Journal of Financial Economics, Elsevier, vol. 138(2), pages 572-591.
    13. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
    14. Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020. "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, vol. 135(3), pages 795-815.
    15. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.

  2. He, Chen & Odders-White, Elizabeth & Ready, Mark J., 2006. "The impact of preferencing on execution quality," Journal of Financial Markets, Elsevier, vol. 9(3), pages 246-273, August.

    Cited by:

    1. Sabrina Buti & Barbara Rindi & Yuanji Wen & Ingrid M. Werner, 2013. "Tick Size Regulation and Sub-Penny Trading," Working Papers 492, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
    3. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    4. Lescourret, Laurence & Robert, Christian Y., 2011. "Transparency matters: Price formation in the presence of order preferencing," Journal of Financial Markets, Elsevier, vol. 14(2), pages 227-258, May.
    5. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    6. Odders-White, Elizabeth R. & Ready, Mark J., 2008. "The probability and magnitude of information events," Journal of Financial Economics, Elsevier, vol. 87(1), pages 227-248, January.
    7. De Lucia, Caterina & Bartlett, Mark, 2014. "Implementing a biofuel economy in the EU: Lessons from the SUSTOIL project and future perspectives for next generation biofuels," Renewable and Sustainable Energy Reviews, Elsevier, vol. 29(C), pages 22-30.
    8. Safa Jallali & Faten Zoghlami, 2022. "Does risk governance mediate the impact of governance and risk management on banks’ performance? Evidence from a selected sample of Islamic banks," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 30(4), pages 439-464, February.
    9. Chung, Kee H. & Chuwonganant, Chairat, 2007. "Quote-based competition, market share, and execution quality in NASDAQ-listed securities," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2770-2795, September.
    10. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    11. Lescourret, Laurence & Robert, Christian Y., 2006. "Preferencing, internalization and inventory position," ESSEC Working Papers DR 06017, ESSEC Research Center, ESSEC Business School.

  3. Elizabeth R. Odders-White & Mark J. Ready, 2006. "Credit Ratings and Stock Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 119-157.

    Cited by:

    1. Krishnamurti, Chandrasekhar & Pensiero, Domenico & Velayutham, Eswaran, 2021. "Corruption risk and stock market effects: Evidence from the defence industry," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    2. Ersan, Oguz & Alıcı, Aslı, 2016. "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 74-94.
    3. Yakov Amihud & Haim Mendelson, 2008. "Liquidity, the Value of the Firm, and Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 32-45, March.
    4. Wang, Kai & Li, Tingting & San, Ziyao & Gao, Hao, 2023. "How does corporate ESG performance affect stock liquidity? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    5. Andres, Christian & Cumming, Douglas & Karabiber, Timur & Schweizer, Denis, 2014. "Do markets anticipate capital structure decisions? — Feedback effects in equity liquidity," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 133-156.
    6. Juan Jose Cruces & Enrique L. Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America: A Sequential Trade Model Approach," Working Papers 86, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
    7. Xavier Giroud & Holger M. Mueller, 2009. "Does Corporate Governance Matter in Competitive Industries?," NBER Working Papers 14877, National Bureau of Economic Research, Inc.
    8. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    9. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
    10. Li, Jing-Ping & Mirza, Nawazish & Rahat, Birjees & Xiong, Deping, 2020. "Machine learning and credit ratings prediction in the age of fourth industrial revolution," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    11. Santiago Forte & Lidija Lovreta, 2015. "Time†Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times," European Financial Management, European Financial Management Association, vol. 21(3), pages 430-461, June.
    12. He, Yan & Wang, Junbo & Wei, K.C. John, 2011. "Do bond rating changes affect the information asymmetry of stock trading?," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 103-116, January.
    13. Wang, Ashley W. & Zhang, Gaiyan, 2009. "Institutional ownership and credit spreads: An information asymmetry perspective," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 597-612, September.
    14. Bill Francis & Iftekhar Hasan & Suresh Babu Mani & An Yan, 2016. "Externality of Stock Liquidity to the Cost of Borrowing," BAFFI CAREFIN Working Papers 1642, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    15. 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.
    16. Lee, Kuan-Hui & Sapriza, Horacio & Wu, Yangru, 2016. "Sovereign debt ratings and stock liquidity around the World," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 99-112.
    17. Mizen, Paul & Tsoukas, Serafeim, 2012. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," International Journal of Forecasting, Elsevier, vol. 28(1), pages 273-287.
    18. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
    19. Chang, Jung-Hsien & Hung, Mao-Wei & Tsai, Feng-Tse, 2015. "Credit contagion and competitive effects of bond rating downgrades along the supply chain," Finance Research Letters, Elsevier, vol. 15(C), pages 232-238.
    20. Paul Mizen & Serafeim Tsoukas, 2008. "Modelling the Persistence of Credit Ratings When Firms Face Financial Constraints, Recessions and Credit Crunches," Discussion Papers 08/01, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    21. Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016. "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 100-116.
    22. Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020. "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
    23. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 141-159, December.
    24. Theissen, Erik & Zehnder, Lars Simon, 2014. "Estimation of trading costs: Trade indicator models revisited," CFR Working Papers 14-09, University of Cologne, Centre for Financial Research (CFR).
    25. Alanis, Emmanuel & Beladi, Hamid & Quijano, Margot, 2015. "Uninsured deposits as a monitoring device: Their impact on bond yields of banks," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 77-88.
    26. Anderson, Mike, 2017. "A causal link between bond liquidity and stock returns," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 190-208.
    27. Forte, Santiago & Peña, Juan Ignacio, 2009. "Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2013-2025, November.
    28. Henry, Tyler R. & Kisgen, Darren J. & Wu, Juan (Julie), 2015. "Equity short selling and bond rating downgrades," Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 89-111.
    29. Ting-Kai Chou, 2013. "Information content of credit ratings in pricing of future earnings," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 217-250, February.
    30. Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
    31. Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," Research Department Publications 3207, Inter-American Development Bank, Research Department.
    32. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
    33. Xinjie Wang & Yangru Wu & Zhaodong (Ken) Zhong, 2020. "The Comovements Of Stock, Bond, And Cds Illiquidity Before, During, And After The Global Financial Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 965-998, December.
    34. Mohanram, Partha & Rajgopal, Shiva, 2009. "Is PIN priced risk?," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 226-243, June.
    35. Kalak, Izidin El & Azevedo, Alcino & Hudson, Robert & Karim, Mohamad Abd, 2017. "Stock liquidity and SMEs’ likelihood of bankruptcy: Evidence from the US market," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1383-1393.
    36. Zhao, Yan & Cheng, Lee-Young & Chang, Chong-Chuo & Ni, Cih-Ying, 2013. "Short sales, margin purchases and bid–ask spreads," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 199-220.
    37. Zhang, Lei, 2017. "Local equity market participation and stock liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 101-121.
    38. Chou, Ting-Kai & Cheng, Jia-Chi, 2012. "Credit ratings and excess value of diversification," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 266-281.
    39. Blanco, Iván & García, Sergio J., 2021. "Options trading and the cost of debt," Journal of Corporate Finance, Elsevier, vol. 69(C).
    40. Clark, Brian & Donato, James & Francis, Bill B & Shohfi, Thomas D, 2023. "Bank loan renegotiation and credit default swaps," Journal of Banking & Finance, Elsevier, vol. 151(C).
    41. Kale, Jayant R. & Loon, Yee Cheng, 2011. "Product market power and stock market liquidity," Journal of Financial Markets, Elsevier, vol. 14(2), pages 376-410, May.
    42. Raman Kumar & Marius Popescu, 2014. "The implied intra-day probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 357-371, February.
    43. Wei Hao & Andrew Prevost & Udomsak Wongchoti, 2018. "Are Low Equity R2 Firms More or Less Transparent? Evidence from the Corporate Bond Market," Financial Management, Financial Management Association International, vol. 47(4), pages 865-909, December.
    44. Giroud, Xavier & Mueller, Holger M., 2010. "Does corporate governance matter in competitive industries?," Journal of Financial Economics, Elsevier, vol. 95(3), pages 312-331, March.
    45. Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," Research Department Publications 3206, Inter-American Development Bank, Research Department.
    46. Liao, Hsien-Hsing & Chen, Tsung-Kang & Lu, Chia-Wu, 2009. "Bank credit risk and structural credit models: Agency and information asymmetry perspectives," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1520-1530, August.
    47. Li, Xiafei & Luo, Di, 2019. "Financial constraints, stock liquidity, and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    48. Peña, Juan Ignacio & Forte, Santiago, 2006. "Credit spreads: theory and evidence about the information content of stocks, bonds and cdss," DEE - Working Papers. Business Economics. WB wb063310, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    49. Jory, Surendranath R. & Ngo, Thanh N. & Wang, Daphne, 2016. "Credit ratings and the premiums paid in mergers and acquisitions," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 93-104.
    50. Baker, H. Kent & Dutta, Shantanu & Saadi, Samir & Zhong, Ligang, 2022. "Does media coverage affect credit rating change decisions?," Journal of Banking & Finance, Elsevier, vol. 145(C).
    51. Alessandro Bitetto & Paola Cerchiello & Stefano Filomeni & Alessandra Tanda & Barbara Tarantino, 2021. "Machine Learning and Credit Risk: Empirical Evidence from SMEs," DEM Working Papers Series 201, University of Pavia, Department of Economics and Management.
    52. Dosung Kim & Jang-Chul Kim & Qing Su & Sung-Kwan Joo, 2023. "Electricity Blackout and Its Ripple Effects: Examining Liquidity and Information Asymmetry in U.S. Financial Markets," Energies, MDPI, vol. 16(13), pages 1-10, June.

  4. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.

    Cited by:

    1. Ryans Bartens & Shakill Hassan, 2009. "Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks," Working Papers 154, Economic Research Southern Africa.
    2. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    3. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    4. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "Low-cost momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 9(6), pages 366-379, February.
    5. Zaremba, Adam & Andreu, Laura, 2018. "Paper profits or real money? Trading costs and stock market anomalies in country ETFs," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 181-192.
    6. Robert Novy-Marx & Mihail Velikov, 2014. "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers 20721, National Bureau of Economic Research, Inc.
    7. Sherif, Mohamed & Chen, Jiaqi, 2019. "The quality of governance and momentum profits: International evidence," The British Accounting Review, Elsevier, vol. 51(5).
    8. Hsu, Liwu & Kaufmann, Patrick & Srinivasan, Shuba, 2017. "How Do Franchise Ownership Structure and Strategic Investment Emphasis Influence Stock Returns and Risks?," Journal of Retailing, Elsevier, vol. 93(3), pages 350-368.
    9. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
    10. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    11. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, University of Reading.
    12. Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017. "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 240-258.
    13. Goyal, Amit & Saretto, Alessio, 2009. "Cross-section of option returns and volatility," Journal of Financial Economics, Elsevier, vol. 94(2), pages 310-326, November.
    14. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
    15. Beaver, William & McNichols, Maureen & Price, Richard, 2016. "The costs and benefits of long-short investing: A perspective on the market efficiency literature," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 1-18.
    16. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
    17. Tan, Yuanyue & Wang, Zhiqiang & Xiong, Haifang & Liu, Yue, 2022. "Fundamental momentum and enhanced fundamental momentum: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 680-693.
    18. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
    19. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
    20. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.

  5. Mark J Ready, 2002. "Profits from Technical Trading Rules," Financial Management, Financial Management Association, vol. 31(3), Fall.

    Cited by:

    1. K. Lam & Wei Li, 2004. "Is the ‘Perfect’ Timing Strategy Truly Perfect?," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 39-51, January.
    2. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
    3. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis.
    4. Scholz, Peter & Walther, Ursula, 2011. "The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant," CPQF Working Paper Series 29, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    5. Lu, Tsung-Hsun, 2014. "The profitability of candlestick charting in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 65-78.
    6. Hung, Chiayu & Lai, Hung-Neng, 2022. "Information asymmetry and the profitability of technical analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    7. Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
    8. A. Olasolo & M. A. Pérez & V. Ruiz, 2016. "Active investment strategies in the Spanish futures market: a solution to avoid data snooping bias," Applied Economics Letters, Taylor & Francis Journals, vol. 23(9), pages 609-613, June.
    9. William N. Goetzmann & Evan Geov Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm109, Yale School of Management.
    10. Horton, Marshall J., 2009. "Stars, crows, and doji: The use of candlesticks in stock selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 283-294, May.
    11. Kevin Rink, 2023. "The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 403-456, December.
    12. Po-Hsuan Hsu & Chung-Ming Kuan, 2004. "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research 04-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    13. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis.
    14. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
    15. Janice How & Martin Ling & Peter Verhoeven, 2010. "Does size matter? A genetic programming approach to technical trading," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 131-140.
    16. Huang, Jing-Zhi & Huang, Zhijian (James), 2020. "Testing moving average trading strategies on ETFs," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 16-32.
    17. Yao-Tsung Wu & Chien-Hung Liu & Kuo-Hao Lin & Dun-Yao Ke, 2024. "Does media coverage matter for the performance of technical trading strategies? Evidence from Taiwan," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 147-166, January.
    18. Adrian Zoicas‐Ienciu, 2021. "Evaluating active investing with generic trading reactions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1018-1036, January.
    19. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
    20. Paskalis Glabadanidis, 2014. "The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 161-202, June.
    21. Bley, Jorg & Saad, Mohsen, 2020. "An analysis of technical trading rules: The case of MENA markets," Finance Research Letters, Elsevier, vol. 33(C).
    22. Yamani, Ehab, 2021. "Can technical trading beat the foreign exchange market in times of crisis?," Global Finance Journal, Elsevier, vol. 48(C).
    23. Neely, C. J. & Weller, P. A., 2003. "Intraday technical trading in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 223-237, April.
    24. Martín García, Rodrigo & Ventura Pérez, Enrique & Arguedas Sanz, Raquel, 2020. "Temporal optimisation of signals emitted automatically by securities exchange indicators," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    25. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    26. Jenni L. Bettman & Stephen J. Sault & Emma L. Schultz, 2009. "Fundamental and technical analysis: substitutes or complements?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(1), pages 21-36, March.
    27. Marshall, Ben R. & Cahan, Rochester H., 2005. "Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?," Research in International Business and Finance, Elsevier, vol. 19(3), pages 384-398, September.
    28. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    29. Paskalis Glabadanidis, 2015. "Market Timing With Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 387-425, September.
    30. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
    31. Paskalis Glabadanidis, 2017. "Timing the Market with a Combination of Moving Averages," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 353-394, September.
    32. Ioana-Andreea Boboc & Mihai-Cristian Dinică, 2013. "An Algorithm for Testing the Efficient Market Hypothesis," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-11, October.
    33. Eero P䴤ri & Mika Vilska, 2014. "Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2851-2872, August.
    34. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
    35. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
    36. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
    37. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    38. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
    39. Marshall, Ben R. & Young, Martin R. & Rose, Lawrence C., 2006. "Candlestick technical trading strategies: Can they create value for investors?," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2303-2323, August.
    40. Batten, Jonathan A. & Lucey, Brian M. & McGroarty, Frank & Peat, Maurice & Urquhart, Andrew, 2018. "Does intraday technical trading have predictive power in precious metal markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 102-113.
    41. BEN OMRANE, Walid & VAN OPPEN, Hervé, 2004. "The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE 2004035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    42. Hannes Mohrschladt, 2018. "The impact of size and book-to-market among paired stocks," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 384-393, October.
    43. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
    44. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
    45. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
    46. Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao, 2016. "The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan," Finance Research Letters, Elsevier, vol. 18(C), pages 263-272.
    47. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.
    48. Yang, Junmin & Cao, Zhiguang & Han, Qiheng & Wang, Qiyu, 2019. "Tactical asset allocation on technical trading rules and data snooping," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    49. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

  6. Ready, Mark J, 1999. "The Specialist's Discretion: Stopped Orders and Price Improvement," The Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1075-1112.

    Cited by:

    1. Burton Hollifield & Robert A. Miller & patrik Sandas, "undated". "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers 29-99, Wharton School Rodney L. White Center for Financial Research.
    2. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
    3. Michael A. Goldstein & Kenneth A. Kavajecz, "undated". "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research.
    4. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
    5. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    6. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
    7. Mahmoodzadeh, Soheil & Gençay, Ramazan, 2017. "Human vs. high-frequency traders, penny jumping, and tick size," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 69-82.
    8. Kaun Y. Lee & Kee H. Chung, 2009. "Information‐Based Trading and Price Improvement," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 754-773, June.
    9. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    10. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
    11. Fang Cai, 2009. "Trader Exploitation Of Order Flow Information During The Ltcm Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 261-284, September.
    12. 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.
    13. Theissen, Erik, 2002. "Internalisierung und Marktqualität: Was bringt Xetra Best?," CFS Working Paper Series 2002/06, Center for Financial Studies (CFS).
    14. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
    15. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    16. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, vol. 17(C), pages 65-93.
    17. Buti, Sabrina, 2007. "A Challenger to the Limit Order Book: The NYSE Specialist," SIFR Research Report Series 55, Institute for Financial Research.
    18. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
    19. Ariadna Dumitrescu, 2010. "Liquidity and Optimal Market Transparency," European Financial Management, European Financial Management Association, vol. 16(4), pages 599-623, September.
    20. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
    21. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
    22. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, vol. 85(3), pages 857-887, September.
    23. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
    24. Nabil Khoury & Stylianos Perrakis & Marko Savor, 2010. "PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality," European Financial Management, European Financial Management Association, vol. 16(2), pages 211-228, March.
    25. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
    26. Battalio, Robert & Jennings, Robert & McDonald, Bill, 2021. "Deviations from time priority on the NYSE," Journal of Financial Markets, Elsevier, vol. 53(C).
    27. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.
    28. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
    29. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March.

  7. Knez, Peter J & Ready, Mark J, 1997. "On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-1382, September.

    Cited by:

    1. Cizek, P., 2007. "General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)," Discussion Paper 2007-65, Tilburg University, Center for Economic Research.
    2. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
    3. Shen, Chung-Hua & Luo, Fuyan & Huang, Dengshi, 2015. "Analysis of earnings management influence on the investment efficiency of listed Chinese companies," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 60-78.
    4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Other publications TiSEM 46607f30-95c0-430a-8ef9-2, Tilburg University, School of Economics and Management.
    5. Kevin Aretz & Marc Aretz, 2016. "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 19-61, February.
    6. Oliver Linton & Gregory Connor, 2000. "Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns," FMG Discussion Papers dp346, Financial Markets Group.
    7. Čížek, Pavel, 2008. "General Trimmed Estimation: Robust Approach To Nonlinear And Limited Dependent Variable Models," Econometric Theory, Cambridge University Press, vol. 24(6), pages 1500-1529, December.
    8. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
    9. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing [Asset pricing model selection: Indonesian Stock Exchange]," MPRA Paper 36978, University Library of Munich, Germany.
    10. Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013. "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers 1303, Koc University-TUSIAD Economic Research Forum.
    11. Pankaj Sinha & Naina Grover, 2021. "Interrelationship Among Competition, Diversification and Liquidity Creation: Evidence from Indian Banks," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(2), pages 183-204, May.
    12. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005. "Modeling catastrophe claims with left-truncated severity distributions (extended version)," HSC Research Reports HSC/05/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    13. Anton Astakhov & Tomas Havranek & Jiri Novak, 2019. "Firm Size And Stock Returns: A Quantitative Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 33(5), pages 1463-1492, December.
    14. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August.
    15. George Karathanasis & Konstantinos Kassimatis & Spyros Spyrou, 2010. "Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(1), pages 143-169, March.
    16. Clark, Ephraim & Kassimatis, Konstantinos, 2011. "An alternative measure of the "world market portfolio": Determinants, efficiency, and information content," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 724-748, September.
    17. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series 2001-01, Federal Reserve Bank of San Francisco.
    18. De Moor, Lieven & Sercu, Piet, 2015. "Measuring the impact of extreme observations on CAPM alphas: Some methodological issues," Finance Research Letters, Elsevier, vol. 15(C), pages 1-10.
    19. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron, 2006. "Modelling catastrophe claims with left-truncated severity distributions," Computational Statistics, Springer, vol. 21(3), pages 537-555, December.
    20. Ranjan Das Gupta & Rajesh Pathak, 2018. "Firm’s Risk-Return Association Facets and Prospect Theory Findings—An Emerging versus Developed Country Context," Risks, MDPI, vol. 6(4), pages 1-32, December.
    21. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    22. Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001. "Econometric applications of high-breakdown robust regression techniques," Economics Letters, Elsevier, vol. 71(1), pages 1-8, April.
    23. Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
    24. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
    25. Cizek, P., 2004. "Asymptotics of Least Trimmed Squares Regression," Other publications TiSEM dab5d551-aca6-40bf-b92e-c, Tilburg University, School of Economics and Management.
    26. Roger K. Loh & René M. Stulz, 2011. "When Are Analyst Recommendation Changes Influential?," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 593-627.
    27. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
    28. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
    29. Peter Antunovich & David S. Laster & Scott Mitnick, 2000. "Are high-quality firms also high-quality investments?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 6(Jan).
    30. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    31. Fernandez, Pablo & Bilan, Andrada, 2007. "110 common errors in company valuations," IESE Research Papers D/714, IESE Business School.
    32. Joel Vanden, 2015. "Noisy information and the size effect in stock returns," Annals of Finance, Springer, vol. 11(1), pages 77-107, February.
    33. Jeffery S. Abarbanell & Reuven Lehavy, 2007. "Letting the “Tail Wag the Dog†: The Debate over GAAP versus Street Earnings Revisited," Contemporary Accounting Research, John Wiley & Sons, vol. 24(3), pages 675-723, September.
    34. Anderson, James H. & Korsun, Georges & Murrell, Peter, 2003. "Glamour and value in the land of Chingis Khan," Journal of Comparative Economics, Elsevier, vol. 31(1), pages 34-57, March.
    35. John E. Core, 2006. "Discussion of An Analysis of the Theories and Explanations Offered for the Mispricing of Accruals and Accrual Components," Journal of Accounting Research, Wiley Blackwell, vol. 44(2), pages 341-350, May.
    36. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
    37. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
    38. Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series 31_10, Rimini Centre for Economic Analysis.
    39. R. Douglas Martin & Daniel Z. Xia, 2022. "Efficient bias robust regression for time series factor models," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 215-234, May.
    40. Argiro Svingou, 2013. "Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 63(1-2), pages 100-120, June.
    41. Theodossiou, Alexandra K. & Theodossiou, Panayiotis, 2014. "Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 153-171.
    42. PAOLA BRIGHI & STEFANO d'ADDONA & ANTONIO CARLO FRANCESCO DELLA BINA, 2013. "The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(2), pages 103-133, July.
    43. Brennan, Michael J & Xia, Yihong, 2001. "Assessing Asset Pricing Anomalies," The Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 905-942.
    44. Boynton, Wentworth & Oppenheimer, Henry R. & Reid, Sean F., 2009. "Japanese day-of-the-week return patterns: New results," Global Finance Journal, Elsevier, vol. 20(1), pages 1-12.
    45. Francis, Jennifer & LaFond, Ryan & Olsson, Per & Schipper, Katherine, 2005. "The market pricing of accruals quality," Journal of Accounting and Economics, Elsevier, vol. 39(2), pages 295-327, June.
    46. Gulraze Wakil, 2020. "Firm size proxies and the value relevance of predictive stock return models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 434-457, July.
    47. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.
    48. Thomas W. Downs & Robert W. Ingram, 2000. "Beta, Size, Risk, And Return," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 245-260, September.
    49. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
    50. Adriana S. Cordis, 2014. "Accounting Ratios and the Cross-section of Expected Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1157-1192, November.
    51. Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012. "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, vol. 29(6), pages 2392-2406.
    52. Arthur Kraft & Andrew J. Leone & Charles Wasley, 2006. "An Analysis of the Theories and Explanations Offered for the Mispricing of Accruals and Accrual Components," Journal of Accounting Research, Wiley Blackwell, vol. 44(2), pages 297-339, May.
    53. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
    54. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    55. Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
    56. Shen, Chung-Hua & Lin, Chih-Yung, 2015. "Betting on presidential elections: Should we buy stocks connected with the winning party?," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 98-109.
    57. Nicholas V. Vakkur & Zulma J. Herrera‐Vakkur, 2012. "Ripple effects: Sarbanes Oxley's impact upon investor risk in a global economy," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(2), pages 184-205, May.
    58. Martin Wallmeier, 2000. "Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen," Schmalenbach Journal of Business Research, Springer, vol. 52(1), pages 27-57, February.
    59. Anton Astakhov & Tomas Havranek & Jiri Novak, 2017. "Firm Size and Stock Returns: A Meta-Analysis," Working Papers IES 2017/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2017.
    60. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    61. Fernandez, Pablo, 2003. "75 common and uncommon errors in company valuation," IESE Research Papers Db/515, IESE Business School.
    62. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.
    63. De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    64. Nowak, Eric, 1998. "Finance, investment, and firm value in Germany and the US: A comparative analysis," SFB 373 Discussion Papers 1998,49, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    65. Cecilia Bermúdez & Carlos D. Dabús & Germán H. González, 2015. "Reexamining the link between instability and growth in Latin America: A dynamic panel data estimation using k-median clusters," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(1), pages 1-23, May.
    66. Garciga, Christian & Verbrugge, Randal, 2021. "Robust covariance matrix estimation and identification of unusual data points: New tools," Research in Economics, Elsevier, vol. 75(2), pages 176-202.
    67. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
    68. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    69. Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    70. Andreou, Panayiotis C. & Louca, Christodoulos & Panayides, Photis M., 2014. "Corporate governance, financial management decisions and firm performance: Evidence from the maritime industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 63(C), pages 59-78.
    71. Pasaribu, Rowland Bismark Fernando, 2009. "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]," MPRA Paper 36982, University Library of Munich, Germany.
    72. de Groot, Wilma & Huij, Joop, 2018. "Are the Fama-French factors really compensation for distress risk?," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 50-69.
    73. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, March.
    74. Pin-Huang Chou & Robin Chou & Kuan-Cheng Ko, 2009. "Prospect theory and the risk-return paradox: some recent evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 193-208, October.
    75. Javier DePeña & Luis A. Gil-Alana, 2003. "The explaining role of the Earning-Price Ratio in the Spanish Stock Market," Faculty Working Papers 03/03, School of Economics and Business Administration, University of Navarra.
    76. Fernandez, Pablo, 2004. "80 common and uncommon errors in company valuation," IESE Research Papers D/550, IESE Business School.
    77. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2023. "The Financial Market of Indices of Socioeconomic Wellbeing," Papers 2303.05654, arXiv.org.
    78. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2003. "Formulating the imputed cost of equity capital for priced services at Federal Reserve banks," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 55-81.
    79. Wang, Xiaozu, 2000. "Size effect, book-to-market effect, and survival," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 257-273, December.
    80. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  8. Knez, Peter J & Ready, Mark J, 1996. "Estimating the Profits from Trading Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1121-1163.

    Cited by:

    1. Junming Hsu & Hsin‐Yi Wang, 2008. "Why Do Price Spreads Between Domestic Shares And Their Adrs Vary Over Time?," Pacific Economic Review, Wiley Blackwell, vol. 13(4), pages 473-491, October.
    2. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 46(3), pages 293-319, December.
    3. Bokhari, Jawaad & Cai, Charlie & Hudson, Robert & Keasey, Kevin, 2005. "The predictive ability and profitability of technical trading rules: does company size matter?," Economics Letters, Elsevier, vol. 86(1), pages 21-27, January.
    4. Massimo Massa & William Goetzmann, 2000. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm134, Yale School of Management, revised 01 Apr 2001.
    5. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013. "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 1-15.
    6. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    7. Julián Andrada-Félix & Fernando Fernández-Rodríguez, 2008. "Improving moving average trading rules with boosting and statistical learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 433-449.
    8. Po-Hsuan Hsu & Chung-Ming Kuan, 2004. "Re-Examining the Profitability of Technical Analysis with White’s Reality Check," IEAS Working Paper : academic research 04-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    9. Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017. "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 385-406, February.
    10. Valeriy Zakamulin, 2014. "The real-life performance of market timing with moving average and time-series momentum rules," Journal of Asset Management, Palgrave Macmillan, vol. 15(4), pages 261-278, August.
    11. Battalio, Robert & Jennings, Robert & Selway, Jamie, 2001. "The potential for clientele pricing when making markets in financial securities," Journal of Financial Markets, Elsevier, vol. 4(1), pages 85-112, January.
    12. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
    13. Li, Wei & Lam, Kin, 2002. "Optimal market timing strategies under transaction costs," Omega, Elsevier, vol. 30(2), pages 97-108, April.
    14. Zakamulin, Valeriy, 2013. "Forecasting the size premium over different time horizons," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1061-1072.
    15. Michael J. O'Neill & Geoffrey J. Warren, 2019. "Evaluating fund capacity: issues and methods," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 773-800, April.
    16. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
    17. Paul Calluzzo & Fabio Moneta & Selim Topaloglu, 2019. "When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?," Management Science, INFORMS, vol. 65(10), pages 4555-4574, October.
    18. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
    19. Berry-Stölzle, Thomas R., 2008. "The impact of illiquidity on the asset management of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 1-14, August.
    20. Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
    21. Griffiths, Mark D. & Turnbull, D. Alasdair S. & White, Robert W., 1999. "Re-examining the small-cap myth: problems in portfolio formation and liquidation," Global Finance Journal, Elsevier, vol. 10(2), pages 201-221.
    22. Stefanescu, Răzvan & Dumitriu, Ramona, 2015. "Buy and sell signals on Bucharest Stock Exchange," MPRA Paper 89014, University Library of Munich, Germany, revised 05 Jan 2016.
    23. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
    24. Eero P䴤ri & Mika Vilska, 2014. "Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2851-2872, August.
    25. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
    26. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
    27. Kavajecz, Kenneth A. & Odders-White, Elizabeth R., 2001. "Volatility and market structure," Journal of Financial Markets, Elsevier, vol. 4(4), pages 359-384, October.
    28. Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2023. "Order book price impact in the Chinese soybean futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 606-625, January.
    29. Griese, Knut & Kempf, Alexander, 2005. "Liquiditätsdynamik am deutschen Aktienmarkt," CFR Working Papers 05-12, University of Cologne, Centre for Financial Research (CFR).
    30. Dongcheol Kim & Byeung‐Joo Lee, 2023. "Shorting costs and profitability of long–short strategies," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 277-316, March.
    31. Alhashel, Bader S. & Almudhaf, Fahad W. & Hansz, J. Andrew, 2018. "Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 92-108.
    32. Ali, Ashiq & Hwang, Lee-Seok & Trombley, Mark A., 2003. "Arbitrage risk and the book-to-market anomaly," Journal of Financial Economics, Elsevier, vol. 69(2), pages 355-373, August.
    33. James Chong & Drew Fountaine & Monica Her & Michael Phillips, 2009. "EVA: The bubble years, meltdown and beyond," Journal of Asset Management, Palgrave Macmillan, vol. 10(3), pages 181-191, August.
    34. Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
    35. Sadka, Ronnie, 2011. "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 144-152.
    36. Hong‐Yi Chen & Pin‐Huang Chou & Chia‐Hsun Hsieh, 2018. "Persistency of the momentum effect," European Financial Management, European Financial Management Association, vol. 24(5), pages 856-892, November.
    37. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    38. Joseph Zhi Bin Ling & Albert K. Tsui & Zhaoyong Zhang, 2021. "Trading Macro-Cycles of Foreign Exchange Markets Using Hybrid Models," Sustainability, MDPI, vol. 13(17), pages 1-20, September.
    39. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    40. Gropp, Jeffrey, 2004. "Mean reversion of industry stock returns in the U.S., 1926-1998," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 537-551, September.
    41. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2010. "The Price Impact of Order Book Events," Papers 1011.6402, arXiv.org, revised Apr 2011.
    42. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
    43. Olson, Dennis & Zoubi, Taisier A., 2008. "Using accounting ratios to distinguish between Islamic and conventional banks in the GCC region," The International Journal of Accounting, Elsevier, vol. 43(1), pages 45-65, March.
    44. Andreas Gruener & Christian Finke, 2018. "Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 8-30, January.
    45. William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
    46. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
    47. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.
    48. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).

  9. Ready Mark J. & Ready Richard C., 1995. "Optimal Pricing of Depletable, Replaceable Resources: The Case of Landfill Tipping Fees," Journal of Environmental Economics and Management, Elsevier, vol. 28(3), pages 307-323, May.

    Cited by:

    1. Mukherjee, C. & Denney, J. & Mbonimpa, E.G. & Slagley, J. & Bhowmik, R., 2020. "A review on municipal solid waste-to-energy trends in the USA," Renewable and Sustainable Energy Reviews, Elsevier, vol. 119(C).
    2. Eduardo Ley & Molly K. Macauley & Stephen W. Salant, "undated". "Spatially and intertemporally efficient waste management: The costs of interstate flow control," Working Papers 97-07, FEDEA.
    3. Luca Di Corato & Natalia Montinari, 2013. "Flexible Waste Management under Uncertainty," Working Papers 2013.03, Fondazione Eni Enrico Mattei.
    4. Jannett Highfill & Michael Mcasey, 2004. "Gains and losses from transfers of solid waste," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 10(2), pages 123-132, May.
    5. Francisco André & Francisco Velasco & Luis Gonzalez-Abril, 2009. "Intertemporal and spatial location of disposal facilities," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(1), pages 23-49, March.
    6. Molly Macauley & Eduardo Ley & Stephen W. Salant, 2000. "Restricting the Trash Trade," American Economic Review, American Economic Association, vol. 90(2), pages 243-246, May.
    7. Anni Huhtala, 1997. "A Post-Consumer Waste Management Model for Determining Optimal Levels of Recycling and Landfilling," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 10(3), pages 301-314, October.
    8. Richard Benjamin & Jeffrey Wagner, 2006. "Reconsidering the law and economics of low-level radioactive waste management," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 8(1), pages 33-53, December.
    9. Jeffrey Wagner & Gregory DeAngelo, 2005. "Characterizing regulation and negligence rule uncertainty in solid waste management," Economics Bulletin, AccessEcon, vol. 11(1), pages 1-11.
    10. Halstead, John M. & Park, William M., 1996. "The Role Of Economic Analysis In Local Government Decisions: The Case Of Solid Waste Management," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 25(1), pages 1-7, April.
    11. Francisco J. André & Emilio Cerdá, 2001. "A Generalized Production Set. The Production and Recycling Function," Economic Working Papers at Centro de Estudios Andaluces E2001/07, Centro de Estudios Andaluces.
    12. Chen, M.C. & Ruijs, A. & Wesseler, J., 2005. "Solid waste management on small islands: the case of Green Island, Taiwan," Resources, Conservation & Recycling, Elsevier, vol. 45(1), pages 31-47.
    13. Gerard Gaudet & Michel Moreaux & Stephen W. Salant, 2001. "Intertemporal Depletion of Resource Sites by Spatially Distributed Users," American Economic Review, American Economic Association, vol. 91(4), pages 1149-1159, September.
    14. Klaus Conrad, 1999. "Resource and Waste Taxation in the Theory of the Firm with Recycling Activities," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 14(2), pages 217-242, September.
    15. Andre, F.J. & Cerda, E., 2003. "Landfill Construction and Capacity Expansion," Other publications TiSEM 812d24f5-7962-4dac-989e-1, Tilburg University, School of Economics and Management.
    16. Wagner, Jeffrey, 2011. "Incentivizing sustainable waste management," Ecological Economics, Elsevier, vol. 70(4), pages 585-594, February.
    17. Francisco J. André & Emilio Cerdá, 2005. "Gestión de residuos sólidos urbanos: Análisis económico y políticas públicas," Economic Working Papers at Centro de Estudios Andaluces E2005/23, Centro de Estudios Andaluces.
    18. Richard Benjamin & Jeffrey Wagner, 2006. "Reconsidering the law and economics of low-level radioactive waste management," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 8(1), pages 33-53, December.
    19. Ley, Eduardo & Macauley, Molly K. & Salant, Stephen W., 2002. "Spatially and Intertemporally Efficient Waste Management: The Costs of Interstate Trade Restrictions," Journal of Environmental Economics and Management, Elsevier, vol. 43(2), pages 188-218, March.
    20. Hervani, Aref A., 2005. "Can oligopsony power be measured? The case of U.S. old newspapers market," Resources, Conservation & Recycling, Elsevier, vol. 44(4), pages 343-380.

  10. Lee, Charles M C & Ready, Mark J & Seguin, Paul J, 1994. "Volume, Volatility, and New York Stock Exchange Trading Halts," Journal of Finance, American Finance Association, vol. 49(1), pages 183-214, March.

    Cited by:

    1. Fong, Wai-Ming, 1996. "New York Stock Exchange trading halts and volatility," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 243-257.
    2. Kim, Kenneth A., 2001. "Price limits and stock market volatility," Economics Letters, Elsevier, vol. 71(1), pages 131-136, April.
    3. He, Qing & Gan, Jingyun & Wang, Shuwan & Chong, Terence Tai Leung, 2018. "The Effects of Trading Suspensions in China," MPRA Paper 92037, University Library of Munich, Germany.
    4. Dong, Yan & Huang, Jun, 2022. "Price limits, investor sentiment, and initial public offering underpricing: A quasi-natural experiment based on ChiNext," Emerging Markets Review, Elsevier, vol. 51(PB).
    5. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    6. Cheng Xiang & Jing Lu, 2023. "Magnet effects of circuit breakers in electronic order‐driven markets: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1450-1469, April.
    7. Bidisha Chakrabarty & Kenneth W. Shaw, 2008. "Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1220-1244, November.
    8. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
    9. Carlos Castro & Diego A. Agudelo & Sergio Preciado, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16988, Universidad EAFIT.
    10. Juan C. Reboredo, 2012. "The switch from continuous to call auction trading in response to a large intraday price movement," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 945-967, March.
    11. Griffith, Todd & Clancey-Shang, Danjue, 2023. "Cryptocurrency regulation and market quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    12. Alex Frino & Michael Garcia, 2018. "Should macroeconomic information be released during trading breaks in futures markets?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 775-787, July.
    13. Drienko, Jozef & Sault, Stephen J. & von Reibnitz, Anna H., 2017. "Company responses to exchange queries in real time," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 116-141.
    14. Wang, Dingyan & Chong, Terence Tai-Leung & Chan, Wing Hong, 2014. "Price Limits and Stock Market Volatility in China," MPRA Paper 54146, University Library of Munich, Germany.
    15. Farag, Hisham, 2015. "The influence of price limits on overreaction in emerging markets: Evidence from the Egyptian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 190-199.
    16. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    17. McDonald, Cynthia G. & Michayluk, David, 2003. "Suspicious trading halts," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 251-263, July.
    18. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
    19. Tchai Tavor, 2014. "Abnormal investor response to the index effect for daily and intraday data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 281-303, August.
    20. Engelen, P.J. & Kabir, M.R., 2001. "Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market," Other publications TiSEM 28eafb93-739c-4826-a624-d, Tilburg University, School of Economics and Management.
    21. Purnendu Nath, 2005. "Are Price Limits Always Bad?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(3), pages 281-313, December.
    22. Xu, Hai-Chuan & Zhang, Wei & Liu, Yi-Fang, 2014. "Short-term market reaction after trading halts in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 103-111.
    23. Franke, Gunter & Hess, Dieter, 2000. "Information diffusion in electronic and floor trading," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 455-478, December.
    24. Wong, Woon K. & Chang, Matthew C. & Tu, Anthony H., 2009. "Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 28-40, January.
    25. Halim Dabbou & Ahmed Silem, 2014. "Price limit and financial contagion: protection or illusion? The tunisian stock exchange case," Post-Print hal-00925424, HAL.
    26. Hautsch, Nikolaus & Horvath, Akos, 2017. "How effective are trading pauses?," CFS Working Paper Series 571, Center for Financial Studies (CFS).
    27. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
    28. Hutson, Elaine & Kearney, Colm, 2005. "Merger arbitrage and the interaction between target and bidder stocks during takeover bids," Research in International Business and Finance, Elsevier, vol. 19(1), pages 1-26, March.
    29. Muntermann, Jan & Guettler, Andre, 2007. "Intraday stock price effects of ad hoc disclosures: the German case," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 1-24, February.
    30. James Brugler & Oliver Linton, 2014. "Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?," CeMMAP working papers CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    31. Joan Evans & James M. Mahoney, 1997. "The effects of price limits on trading volume: a study of the cotton futures market," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 3(Jan).
    32. Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
    33. Daphne Yan Du & Qianqiu Liu & S. Ghon Rhee, 2009. "An Analysis of the Magnet Effect under Price Limits," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 83-110, March.
    34. Wang, Xinru & Kim, Maria H. & Suardi, Sandy, 2022. "Herding and China's market-wide circuit breaker," Journal of Banking & Finance, Elsevier, vol. 141(C).
    35. Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017. "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 34-51.
    36. Kun Li, 2019. "Do Circuit Breakers Impede Trading Behavior? A Study In Chinese Financial Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1-18, December.
    37. Francois Brochet & Kalin Kolev & Alina Lerman, 2018. "Information transfer and conference calls," Review of Accounting Studies, Springer, vol. 23(3), pages 907-957, September.
    38. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    39. Wang, Steven Shuye & Xu, Kuan & Zhang, Hao, 2019. "A microstructure study of circuit breakers in the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    40. Chiyachantana, Chiraphol N. & Jain, Pankaj K. & Jiang, Christine & Wood, Robert A., 2006. "Volatility effects of institutional trading in foreign stocks," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2199-2214, August.
    41. David C. Porter & Carsten Tanggaard & Daniel G. Weaver & Wei Yu, 2008. "Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange," European Financial Management, European Financial Management Association, vol. 14(2), pages 243-267, March.
    42. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.
    43. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Panz, Sven, 2017. "Managing excess volatility: Design and effectiveness of circuit breakers," SAFE Working Paper Series 195, Leibniz Institute for Financial Research SAFE.
    44. Thorsten Egelkraut & Philip Garcia & Bruce Sherrick, 2007. "Options-based forecasts of futures prices in the presence of limit moves," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 145-152.
    45. Halim DABBOU & Ahmed SILEM, 2014. "Price Limit and Financial Contagion: Protection or Illusion? The Tunisian Stock Exchange Case," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 54-70.
    46. Yong H. Kim & J. Jimmy Yang, 2009. "Effect of Price Limits: Initial Public Offerings versus Seasoned Equities," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 295-318, September.
    47. Jiang, Christine & McInish, Thomas & Upson, James, 2009. "The information content of trading halts," Journal of Financial Markets, Elsevier, vol. 12(4), pages 703-726, November.
    48. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    49. Wong, Kin Ming & Kong, Xiao Wei & Li, Min, 2020. "The magnet effect of circuit breakers and its interactions with price limits," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    50. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    51. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
    52. Franke, Günter & Hess, Dieter, 1995. "Anonymous electronic trading versus floor trading," Discussion Papers, Series II 285, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    53. Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
    54. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
    55. Pritamani, Mahesh & Singal, Vijay, 2001. "Return predictability following large price changes and information releases," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 631-656, April.
    56. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    57. Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
    58. Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
    59. Castro, Carlos & Agudelo, Diego A. & Preciado, Sergio, 2020. "Measuring the effectiveness of volatility auctions," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 566-581.
    60. Brugler, James & Linton, Oliver & Noss, Joseph & Pedace, Lucas, 2018. "The cross-sectional spillovers of single stock circuit breakers," Bank of England working papers 759, Bank of England.
    61. Veld-Merkoulova, Yulia V., 2003. "Price limits in futures markets: effects on the price discovery process and volatility," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 311-328.
    62. Kim, Yong H. & Yagüe, José & Yang, J. Jimmy, 2008. "Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 197-215.
    63. Cho, David D. & Russell, Jeffrey & Tiao, George C. & Tsay, Ruey, 2003. "The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 133-168, February.
    64. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    65. Hai-Chuan Xu & Wei Zhang & Yi-Fang Liu, 2013. "Short-term Market Reaction after Trading Halts in Chinese Stock Market," Papers 1309.1138, arXiv.org, revised Jun 2014.
    66. Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
    67. Lee, Jie-Haun & Chou, Robin K., 2004. "The intraday stock return characteristics surrounding price limit hits," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 485-501.
    68. 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.
    69. Maloney, Michael T. & Mulherin, J. Harold, 2003. "The complexity of price discovery in an efficient market: the stock market reaction to the Challenger crash," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 453-479, September.
    70. Yuze Lu & Hailong Zhang & Qiwen Guo, 2023. "Stock and market index prediction using Informer network," Papers 2305.14382, arXiv.org.
    71. Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16943, Universidad EAFIT.
    72. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    73. Lee, Dongyeol & Kim, Woo Chang, 2021. "Cost of shareholder engagement by institutional investors under short-swing profit rule," Finance Research Letters, Elsevier, vol. 40(C).
    74. Spiegel, Matthew & Subrahmanyam, Avanidhar, 2000. "Asymmetric Information and News Disclosure Rules," Journal of Financial Intermediation, Elsevier, vol. 9(4), pages 363-403, October.
    75. Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh, 2005. "Risk aversion and price limits in futures markets," Finance Research Letters, Elsevier, vol. 2(3), pages 173-184, September.
    76. Tang, Siyuan, 2023. "Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market," International Review of Financial Analysis, Elsevier, vol. 89(C).
    77. Chakrabarty, Bidisha & Corwin, Shane A. & Panayides, Marios A., 2011. "When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 361-386, July.
    78. Seza Danışoğlu & Z. Nuray Güner, 2018. "Do price limits help control stock price volatility?," Annals of Operations Research, Springer, vol. 260(1), pages 129-157, January.
    79. Chiyachantana, Chiraphol & Jain, Pankaj K. & Jiang, Christine & Sharma, Vivek, 2017. "Permanent price impact asymmetry of trades with institutional constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 1-16.
    80. Xinyue He & Teresa Serra, 2022. "Are price limits cooling off agricultural futures markets?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 104(5), pages 1724-1746, October.
    81. Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.
    82. Cheoljun Eom & Steven J. Jordan & Woo‐Baik Lee & Jong Won Park, 2020. "Programs trades and trade regulation: An evidence of the Korean securities market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 44-66, January.
    83. Farag, Hisham, 2014. "The effectiveness of competing regulatory regimes and the switching effects: Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 25(2), pages 136-147.
    84. Westerhoff, Frank, 2003. "Speculative markets and the effectiveness of price limits," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 493-508, December.
    85. Fridgen, Gilbert & Kräussl, Roman & Papageorgiou, Orestis & Tugnetti, Alessandro, 2023. "The fundamental value of art NFTs," CFS Working Paper Series 709, Center for Financial Studies (CFS).

  11. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.

    Cited by:

    1. Nandkumar Nayar & Ajai K. Singh & Allan A. Zebedee, 2008. "Share Repurchase Offers and Liquidity: An Examination of Temporary and Permanent Effects," Financial Management, Financial Management Association International, vol. 37(2), pages 251-270, June.
    2. Evren Ors & Gordon J. Alexander & Mark A. Peterson & Paul J. Seguin, 2004. "Margin regulation and market quality: a microstructure analysis," Post-Print hal-00460981, HAL.
    3. Chung, Kee H. & Kim, Oliver & Lim, Steve C. & Yang, Sean, 2019. "An analytical measure of market underreaction to earnings news," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 612-624.
    4. Rosati, Pierangelo & Cummins, Mark & Deeney, Peter & Gogolin, Fabian & van der Werff, Lisa & Lynn, Theo, 2017. "The effect of data breach announcements beyond the stock price: Empirical evidence on market activity," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 146-154.
    5. Li, Jinfang, 2019. "Sentiment trading, informed trading and dynamic asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 210-222.
    6. Edward Sun & Timm Kruse & Min-Teh Yu, 2014. "High frequency trading, liquidity, and execution cost," Annals of Operations Research, Springer, vol. 223(1), pages 403-432, December.
    7. Chelley-Steeley, Patricia & Park, Keebong, 2011. "Intraday patterns in London listed Exchange Traded Funds," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 244-251.
    8. Gur Huberman & Dominika Halka, 2001. "Systematic Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, June.
    9. ap Gwilym, Owain & Thomas, Stephen, 2002. "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 81-99, February.
    10. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
    11. Aytekin Ertan & Stephen A. Karolyi & Peter W. Kelly & Robert Stoumbos, 2022. "Earnings announcement return extrapolation," Review of Accounting Studies, Springer, vol. 27(1), pages 185-230, March.
    12. Hans Degryse & Frank Jong & Jérémie Lefebvre, 2016. "Legal Insider Trading and Stock Market Liquidity," De Economist, Springer, vol. 164(1), pages 83-104, March.
    13. ap Gwilym, Owain & Clare, Andrew & Thomas, Stephen, 1998. "Price clustering and bid-ask spreads in international bond futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 377-391, December.
    14. Dinh, Minh Thi Hong, 2018. "The relationship between volume imbalance and spread," Research in International Business and Finance, Elsevier, vol. 44(C), pages 76-87.
    15. Michael A. Goldstein & Kenneth A. Kavajecz, "undated". "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research.
    16. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    17. Robert Stoumbos, 2023. "The Growth of Information Asymmetry Between Earnings Announcements and Its Implications for Reporting Frequency," Management Science, INFORMS, vol. 69(3), pages 1901-1928, March.
    18. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
    19. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
    20. Hatch, Brian C. & Johnson, Shane A. & Wang, Qin Emma & Zhang, Jun, 2021. "Algorithmic trading and firm value," Journal of Banking & Finance, Elsevier, vol. 125(C).
    21. Yanyi Ye & Yun Wang & Xiaoguang Yang, 2022. "Bank loan information and information asymmetry in the stock market: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-28, December.
    22. Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 3, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    23. Kee H. Chung & Mingsheng Li, 2003. "Adverse‐Selection Costs and the Probability of Information‐Based Trading," The Financial Review, Eastern Finance Association, vol. 38(2), pages 257-272, May.
    24. Davis, Frederick & Khadivar, Hamed & Walker, Thomas J., 2021. "Institutional trading in firms rumored to be takeover targets," Journal of Corporate Finance, Elsevier, vol. 66(C).
    25. Baruch, Shmuel & Panayides, Marios & Venkataraman, Kumar, 2017. "Informed trading and price discovery before corporate events," Journal of Financial Economics, Elsevier, vol. 125(3), pages 561-588.
    26. Malay K. Dey & B. Radhakrishna (Radha), 2007. "Who Trades Around Earnings Announcements? Evidence from TORQ Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 269-291, January.
    27. Cho, Jin-Wan, 2007. "Earnings announcements, private information, and strategic informed trading," Journal of Financial Intermediation, Elsevier, vol. 16(1), pages 117-149, January.
    28. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.
    29. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The microstructure of the euro money market," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 895-948, November.
    30. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 321-340, March.
    31. Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2009. "The effect of earnings surprises on information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 208-225, June.
    32. Justin Cox, 2020. "Market fragmentation and post-earnings announcement drift," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 587-610, July.
    33. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
    34. Frankel, Richard & Li, Xu, 2004. "Characteristics of a firm's information environment and the information asymmetry between insiders and outsiders," Journal of Accounting and Economics, Elsevier, vol. 37(2), pages 229-259, June.
    35. Bidisha Chakrabarty & Kenneth W. Shaw, 2008. "Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1220-1244, November.
    36. Paul A. Griffin & Hyun A. Hong & Ivalina Kalcheva & Jeong‐Bon Kim, 2022. "Shorting activity and stock return predictability: Evidence from a mandatory disclosure shock," Financial Management, Financial Management Association International, vol. 51(1), pages 27-71, March.
    37. Lawrence Kryzanowski & Skander Lazrak, 2007. "Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 405-439.
    38. Ian Tonks & Daniella Acker & Matthew Stalker, 2002. "Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements," FMG Discussion Papers dp404, Financial Markets Group.
    39. Boulton, Thomas J. & Braga-Alves, Marcus V., 2020. "Price stabilization, short selling, and IPO secondary market liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 278-291.
    40. Chung, Huimin, 2006. "Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1485-1505, May.
    41. Ravi, Rahul & Hong, Youna, 2014. "Firm opacity and financial market information asymmetry," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 83-94.
    42. Chen, Jiayuan & Muckley, Cal B. & Bredin, Don, 2017. "Is information assimilated at announcements in the European carbon market?," Energy Economics, Elsevier, vol. 63(C), pages 234-247.
    43. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
    44. Madureira, Leonardo & Underwood, Shane, 2008. "Information, sell-side research, and market making," Journal of Financial Economics, Elsevier, vol. 90(2), pages 105-126, November.
    45. Ronen, Tavy & Weaver, Daniel G., 2001. "'Teenies' anyone?," Journal of Financial Markets, Elsevier, vol. 4(3), pages 231-260, June.
    46. Pagliacci, Carolina, 2006. "The Venezuelan Overnight Fund Market: Understanding a Credit Constraint Limit Order Market," MPRA Paper 106541, University Library of Munich, Germany.
    47. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    48. Xu Jiang, 2016. "Biases in Accounting and Nonaccounting Information: Substitutes or Complements?," Journal of Accounting Research, Wiley Blackwell, vol. 54(5), pages 1297-1330, December.
    49. Abdo, Hafez & Mangena, Musa & Needham, Graham & Hunt, David, 2018. "Disclosure of provisions for decommissioning costs in annual reports of oil and gas companies: A content analysis and stakeholder views," Accounting forum, Elsevier, vol. 42(4), pages 341-358.
    50. Ardalan, Kavous, 1999. "The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread," Global Finance Journal, Elsevier, vol. 10(1), pages 83-91.
    51. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Papers 2006-W08, Economics Group, Nuffield College, University of Oxford.
    52. Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015. "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 237-250.
    53. Samuel M. Hartzmark & Kelly Shue, 2017. "A Tough Act to Follow: Contrast Effects In Financial Markets," NBER Working Papers 23883, National Bureau of Economic Research, Inc.
    54. Christiane Goodfellow & Martin T. Bohl, 2011. "Forestalling Floor Closure: Evidence from a Natural Experiment on the German Stock Market," Post-Print hal-00676103, HAL.
    55. Harris, Terry, 2017. "Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies," Finance Research Letters, Elsevier, vol. 20(C), pages 223-228.
    56. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
    57. Dionigi Gerace & Qigui Liu & Gary Gang Tian & Willa Zheng, 2015. "Call Auction Transparency and Market Liquidity: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 223-255, June.
    58. Aman, Hiroyuki & Moriyasu, Hiroshi, 2022. "Effect of corporate disclosure and press media on market liquidity: Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 82(C).
    59. Alex Frino & Michael Garcia, 2018. "Should macroeconomic information be released during trading breaks in futures markets?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 775-787, July.
    60. Peter Gomber & Uwe Schweickert & Erik Theissen, 2015. "Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach," European Financial Management, European Financial Management Association, vol. 21(1), pages 52-78, January.
    61. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
    62. 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-.
    63. Park, Tae-Jun & Lee, Youngjoo & Song, Kyojik “Roy”, 2014. "Informed trading before positive vs. negative earnings surprises," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 228-241.
    64. Andrew Buskirk, 2012. "Disclosure frequency and information asymmetry," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 411-440, May.
    65. Sakawa, Hideaki & Ubukata, Masato & Watanabel, Naoki, 2014. "Market liquidity and bank-dominated corporate governance: Evidence from Japan," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 1-11.
    66. Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, September.
    67. Martínez, Miguel Ángel & Rubio, Gonzalo & Tapia, Mikel, 2000. "Understanding liquidity: a closer look at the limit order book," DEE - Working Papers. Business Economics. WB 9961, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    68. Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
    69. Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
    70. Jon A. Garfinkel & Jonathan Sokobin, 2006. "Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 44(1), pages 85-112, March.
    71. Bogousslavsky, Vincent & Collin-Dufresne, Pierre & Sağlam, Mehmet, 2021. "Slow-moving capital and execution costs: Evidence from a major trading glitch," Journal of Financial Economics, Elsevier, vol. 139(3), pages 922-949.
    72. Brockman, Paul & Chung, Dennis Y., 1999. "An analysis of depth behavior in an electronic, order-driven environment," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1861-1886, December.
    73. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    74. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
    75. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
    76. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
    77. Antonio Figueiredo & Shahid S. Hamid & Richard Holowczak, 2021. "Stock market signals and consequences of securities class actions lawsuits: a microstructure perspective," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 629-655, August.
    78. 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.
    79. Shai Levi & Xiao-Jun Zhang, 2015. "Do Temporary Increases in Information Asymmetry Affect the Cost of Equity?," Management Science, INFORMS, vol. 61(2), pages 354-371, February.
    80. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
    81. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2002. "Dynamic Volume-Return Relation of Individual Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1005-1047.
    82. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
    83. Lodikero Olusola & Don’ Emenike, 2020. "Firm Characteristics and Restatement of Financial Statement in Nigeria," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 4(8), pages 623-628, August.
    84. Chung, Kee H. & Chuwonganant, Chairat & Jiang, Jing, 2008. "The dynamics of quote adjustments," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2390-2400, November.
    85. Cheng, Louis & Firth, Michael & Leung, T.Y. & Rui, Oliver, 2006. "The effects of insider trading on liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 467-483, November.
    86. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
    87. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
    88. Berkman, Henk & Koch, Paul D., 2008. "Noise trading and the price formation process," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 232-250, March.
    89. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
    90. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    91. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    92. Jun (Tony) Ruan & Tongshu Ma, 2017. "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 385-436, June.
    93. Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
    94. Martin Bugeja & Vinay Patel & Terry Walter, 2015. "The microstructure of Australian takeover announcements," Australian Journal of Management, Australian School of Business, vol. 40(1), pages 161-188, February.
    95. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
    96. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
    97. Xiaofei Zhao, 2017. "Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings," Management Science, INFORMS, vol. 63(5), pages 1382-1404, May.
    98. Le, Van & Zurbruegg, Ralf, 2016. "The impact of short sale restrictions on informed trading in the stock and options markets," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 262-273.
    99. Chunmei Lin & Massimo Massa & Hong Zhang, 2014. "Mutual Funds and Information Diffusion: The Role of Country-Level Governance," Tinbergen Institute Discussion Papers 14-079/IV/DSF76, Tinbergen Institute.
    100. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    101. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
    102. Matthew Brigida, 2020. "Real-Time Detection of Volatility in Liquidity Provision," Papers 2011.10930, arXiv.org.
    103. Malhotra, Madhuri Malhotra & M., Thenmozhi & Gopalaswamy, Arun Kumar, 2012. "Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India," MPRA Paper 41216, University Library of Munich, Germany.
    104. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," LIDAM Reprints LFIN 2014006, Université catholique de Louvain, Louvain Finance (LFIN).
    105. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
    106. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
    107. Robert Freeman & Adam Koch & Haidan Li, 2011. "Can historical returns-earnings relations predict price responses to earnings news?," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 35-62, July.
    108. Tissaoui, Kais & Ftiti, Zied, 2016. "Liquidity, liquidity risk, and information flow: Lessons from an emerging market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 28-48.
    109. Yuan Gao & Derek Oler, 2012. "Rumors and pre-announcement trading: why sell target stocks before acquisition announcements?," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 485-508, November.
    110. Mathew, Prem G. & Michayluk, David & Kofman, Paul, 2007. "Are foreign issuers complying with Regulation Fair Disclosure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 246-260, July.
    111. Mark J. Flannery & Simon H. Kwan & Mahendrarajah 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.
    112. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2015. "New empirical evidence on the bid-ask spread," Working Papers fe_2015_06, Deakin University, Department of Economics.
    113. Travis L. Johnson & Eric C. So, 2018. "Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns," Journal of Accounting Research, Wiley Blackwell, vol. 56(1), pages 217-263, March.
    114. Edmund Keung & Zhi‐Xing Lin & Michael Shih, 2010. "Does the Stock Market See a Zero or Small Positive Earnings Surprise as a Red Flag?," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 105-136, March.
    115. Noronha, Gregory M. & Sarin, Atulya & Saudagaran, Shahrokh M., 1996. "Testing for micro-structure effects of international dual listings using intraday data," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 965-983, July.
    116. Qin Wang & Hsiao-Fen Yang, 2015. "Earnings announcements, trading volume, and price discovery: evidence from dual class firms," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 669-700, May.
    117. Matsumoto, Dawn A. & Shaikh, Sarah, 2017. "Discussion of “When does the peer information environment matter?”," Journal of Accounting and Economics, Elsevier, vol. 64(2), pages 215-220.
    118. Chakrabarty, Bidisha & Shaw, Kenneth W., 2012. "Eliminating the 20-F reconciliation from IFRS to U.S. GAAP: Short-term and long-term liquidity effects," Research in Accounting Regulation, Elsevier, vol. 24(2), pages 90-95.
    119. Min‐Hsien Chiang & Tsai‐Yin Lin & Chih‐Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7‐8), pages 1007-1038, September.
    120. Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
    121. Boulton, Thomas J. & Braga-Alves, Marcus V. & Kulchania, Manoj, 2014. "The flash crash: An examination of shareholder wealth and market quality," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 140-156.
    122. Robert Bushman & Sunil Dutta & John Hughes & Raffi Indjejikian, 1997. "Earnings Announcements and Market Depth," Contemporary Accounting Research, John Wiley & Sons, vol. 14(1), pages 43-68, March.
    123. Crego, Julio A., 2020. "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, vol. 137(1), pages 72-89.
    124. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
    125. Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel, 2004. "Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 107-128, January.
    126. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," LIDAM Discussion Papers CORE 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    127. Yue‐cheong Chan, 2005. "Price Movement Effects on the State of the Electronic Limit‐Order Book," The Financial Review, Eastern Finance Association, vol. 40(2), pages 195-221, May.
    128. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2008. "Liquidity distribution in the limit order book on the stock exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 291-311.
    129. Levi, Shai & Zhang, Xiao-Jun, 2015. "Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium," Journal of Financial Economics, Elsevier, vol. 118(2), pages 383-398.
    130. Dowdell, Thomas D. & Kim, Jang-Chul & Klamm, Bonnie K. & Watson, Marcia Weidenmier, 2013. "Internal control reporting and market liquidity," Research in Accounting Regulation, Elsevier, vol. 25(1), pages 30-40.
    131. Monaco, Eleonora & Ibikunle, Gbenga & Palumbo, Riccardo & Zhang, Zeyu, 2022. "The liquidity and trading activity effects of acquisition payment methods: Evidence from the announcements of private firms' acquisitions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    132. Chiraphol N. Chiyachantana & Christine X. Jiang & Nareerat Taechapiroontong & Robert A. Wood, 2004. "The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 39(4), pages 549-577, November.
    133. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, University Library of Munich, Germany.
    134. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
    135. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1069-1097, September.
    136. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    137. Rubio, Gonzalo & Tapia, Mikel, 1996. "The liquidity premiun in equity pricing under a continuous auction system," DEE - Working Papers. Business Economics. WB 7014, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    138. Theresa Libby & Robert Mathieu & Sean W. G. Robb, 2002. "Earnings Announcements and Information Asymmetry: An Intra†Day Analysis," Contemporary Accounting Research, John Wiley & Sons, vol. 19(3), pages 449-472, September.
    139. Chung, Kee H. & Chuwonganant, Chairat, 2002. "Tick size and quote revisions on the NYSE," Journal of Financial Markets, Elsevier, vol. 5(4), pages 391-410, October.
    140. Ahn, Hee-Joon & Cao, Charles & Choe, Hyuk, 2001. "Share repurchase tender offers and bid-ask spreads," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 445-478, March.
    141. Bahaa Sobhi AbdeLatif Awwad & Allam Mohammed Mousa Hamdan, 2018. "Gulf Cooperation Council Energy Sectors Governance and Dividend Policy," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 163-171.
    142. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    143. Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, Wiley Blackwell, vol. 60(1), pages 261-297, March.
    144. Alasdair Brown, 2011. "Evidence of in-play insider trading on a UK betting exchange," Post-Print hal-00670250, HAL.
    145. Karl A. Muller & Edward J. Riedl & Thorsten Sellhorn, 2008. "Consequences of Voluntary and Mandatory Fair Value Accounting: Evidence Surrounding IFRS Adoption in the EU Real Estate Industry," Harvard Business School Working Papers 09-033, Harvard Business School.
    146. Jacoby, Gady & Liao, Rose C., 2012. "Price discovery and sentiment," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 108-118.
    147. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney.
    148. Santiago Velásquez & Juho Kanniainen & Saku Mäkinen & Jaakko Valli, 2018. "Layoff announcements and intra-day market reactions," Review of Managerial Science, Springer, vol. 12(1), pages 203-228, January.
    149. Jiraporn, Pornsit & Chintrakarn, Pandej & Kim, Young S., 2012. "Analyst following, staggered boards, and managerial entrenchment," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3091-3100.
    150. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
    151. Chiu, Junmao & Tsai, Kunchi, 2017. "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 128-142.
    152. Dean Katselas, 2020. "Strategic insider trading around earnings announcements in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3709-3741, December.
    153. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
    154. Zou, Liping & Rose, Lawrence C. & Pinfold, John F., 2006. "Intra-night trading behaviour of Australian treasury-bond futures overnight options," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 415-433.
    155. Kalimipalli, Madhu & Ramchand, Latha, 2006. "Does the method of entry matter? Evidence from Indian ADRs and GDRs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 349-366, September.
    156. Chakravarty, Sugato & Li, Kai, 2003. "A Bayesian analysis of dual trader informativeness in futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 355-371, May.
    157. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.
    158. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
    159. Baruch, Shmuel, 2002. "Insider trading and risk aversion," Journal of Financial Markets, Elsevier, vol. 5(4), pages 451-464, October.
    160. Alex Frino & Stewart Jones, 2005. "The Impact of Mandated Cash Flow Disclosure on Bid‐Ask Spreads," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1373-1396, September.
    161. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.
    162. Jon A. Garfinkel, 2009. "Measuring Investors' Opinion Divergence," Journal of Accounting Research, Wiley Blackwell, vol. 47(5), pages 1317-1348, December.
    163. João A. C. Santos & Pei Shao, 2017. "Investor Diversity and Liquidity in the Secondary Loan Market," Liberty Street Economics 20170809, Federal Reserve Bank of New York.
    164. Robert E. Verrecchia & Joseph Weber, 2006. "Redacted Disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 44(4), pages 791-814, September.
    165. Gajewski, Jean-François & Quéré, Bertrand ¨P., 2013. "A Comparison of the Effects of Earnings Disclosures on Information Asymmetry: Evidence from France and the U.S," The International Journal of Accounting, Elsevier, vol. 48(1), pages 1-25.
    166. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    167. Chan, Terence & Watson, Iain & Wee, Marvin, 2005. "The impact of the Internet on earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 263-300, June.
    168. Eric Levin & Robert Wright, 1999. "Why does the bid-ask spread vary over the day?," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 563-567.
    169. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    170. Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
    171. Chung, Kee H. & Van Ness, Robert A., 2001. "Order handling rules, tick size, and the intraday pattern of bid-ask spreads for Nasdaq stocks," Journal of Financial Markets, Elsevier, vol. 4(2), pages 143-161, April.
    172. Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
    173. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 533-555, September.
    174. Jón Daníelsson & Richard Payne, 2012. "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 799-821, October.
    175. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "The Role of Tick Size in Upstairs Trading and Downstairs Trading," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 393-417, October.
    176. Ana González & Gonzalo Rubio, 2007. "Portfolio choice and the effects of liquidity," Economics Working Papers 1035, Department of Economics and Business, Universitat Pompeu Fabra.
    177. George F. Tannous & Ying Zhang, 2008. "Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1245-1275, November.
    178. Kiridaran Kanagaretnam & Gerald J. Lobo & Dennis J. Whalen, 2005. "Relationship Between Analyst Forecast Properties and Equity Bid‐Ask Spreads and Depths Around Quarterly Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9‐10), pages 1773-1799, November.
    179. Verrier, Tatjana, 2010. "Selected Essays in Stock Market Liquidity. Innovative XLM Measure at the Frankfurt Stock Exchange: Cloudy Skies, Time of the Day and the Role of Designated Sponsors for Stock Market Liquidity," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 41600, October.
    180. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    181. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    182. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
    183. Josef Fink, 2020. "A Review of the Post-Earnings-Announcement Drift," Working Paper Series, Social and Economic Sciences 2020-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    184. Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," CFR Working Papers 15-13, University of Cologne, Centre for Financial Research (CFR).
    185. Dyer, Travis A., 2021. "The demand for public information by local and nonlocal investors: Evidence from investor-level data," Journal of Accounting and Economics, Elsevier, vol. 72(1).
    186. Elizabeth Blankespoor & Ed deHaan & Christina Zhu, 2018. "Capital market effects of media synthesis and dissemination: evidence from robo-journalism," Review of Accounting Studies, Springer, vol. 23(1), pages 1-36, March.
    187. Pronk, M., 2002. "Market liquidity around earnings announcements," Other publications TiSEM 3e22cd8d-f7eb-4c28-9275-8, Tilburg University, School of Economics and Management.
    188. Sung‐Hun Kim & Joseph P. Ogden, 1996. "Determinants of the components of bid‐ask spreads on stocks," European Financial Management, European Financial Management Association, vol. 2(1), pages 127-145, March.
    189. Sohail Rizwan, 2019. "Corporate Frauds, Information Asymmetry and Stock Market Reaction," Global Regional Review, Humanity Only, vol. 4(2), pages 126-133, June.
    190. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
    191. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    192. Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
    193. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 656-678, September.
    194. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
    195. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
    196. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.
    197. Joshua Madsen & Marina Niessner, 2019. "Is Investor Attention for Sale? The Role of Advertising in Financial Markets," Journal of Accounting Research, Wiley Blackwell, vol. 57(3), pages 763-795, June.
    198. Liu, Wai-Man & Sawyer, K. R., 2003. "How free are free trading options?," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 573-591, November.
    199. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    200. Gelman, Sergey & Lushchikov, Roman, 2015. "Stock liquidity in forefront of anticipated announcements," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113176, Verein für Socialpolitik / German Economic Association.
    201. Kavajecz, Kenneth A. & Odders-White, Elizabeth R., 2001. "Volatility and market structure," Journal of Financial Markets, Elsevier, vol. 4(4), pages 359-384, October.
    202. Patricia M. Dechow & Richard G. Sloan & Amy P. Sweeney, 1996. "Causes and Consequences of Earnings Manipulation: An Analysis of Firms Subject to Enforcement Actions by the SEC," Contemporary Accounting Research, John Wiley & Sons, vol. 13(1), pages 1-36, March.
    203. Brian J. Bushee & John E. Core & Wayne Guay & Sophia J.W. Hamm, 2010. "The Role of the Business Press as an Information Intermediary," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 1-19, March.
    204. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
    205. Efthymiou, Vassilis A. & Leledakis, George N., 2013. "Intraday analysis of the limit order bias at the ex-dividend day of U.S. common stocks," MPRA Paper 49770, University Library of Munich, Germany.
    206. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
    207. Kothare, Meeta, 1997. "The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings," Journal of Financial Economics, Elsevier, vol. 43(1), pages 131-148, January.
    208. Christine Jiang & Jang-Chul Kim & Robert Wood, 2011. "A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1227-1239.
    209. Li, Ting & Zaiats, Nataliya, 2017. "Information environment and earnings management of dual class firms around the world," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 1-23.
    210. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "Information flows and open outcry: evidence of imitation trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 101-116, June.
    211. Charlie Charoenwong & David K. Ding & Tiong Yang Thong, 2016. "Decimalization, IPO aftermath, and liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1303-1344, November.
    212. Frank Heflin & Kenneth W. Shaw & John J. Wild, 2007. "Disclosure policy and intraday spread patterns," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 6(3), pages 285-303, August.
    213. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
    214. Albuquerque, Rui, 2009. "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers 7573, C.E.P.R. Discussion Papers.
    215. Franzen, Nina & Weißenberger, Barbara E., 2018. "Capital market effects of mandatory IFRS 8 adoption: An empirical analysis of German firms," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 31(C), pages 1-19.
    216. Chewning, Eugene Jr. & Coller, Maribeth & Tuttle, Brad, 2004. "Do market prices reveal the decision models of sophisticated investors?: Evidence from the laboratory," Accounting, Organizations and Society, Elsevier, vol. 29(8), pages 739-758, November.
    217. Van Le, 2016. "The effect of short-sale restrictions: another perspective," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 12(5), pages 700-714, October.
    218. William Goetzmann & Simon Huang, 2015. "Momentum in Imperial Russia," NBER Working Papers 21700, National Bureau of Economic Research, Inc.
    219. Bacidore, Jeffrey M. & Sofianos, George, 2002. "Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks," Journal of Financial Economics, Elsevier, vol. 63(1), pages 133-158, January.
    220. Jos Van Bommel & Jay Dahya & Zhihong Shi, 2010. "An empirical investigation of the speed of information aggregation: a study of IPOs," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(1), pages 47-79.
    221. How, Janice C.Y. & Verhoeven, Peter & Huang, Caro X., 2005. "Information asymmetry surrounding earnings and dividend announcements: An intra-day analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 463-473.
    222. Brockman, Paul & Chung, Dennis Y., 2002. "The impact of informed trading on corporate liquidity," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 239-259, July.
    223. Forget M Kapingura, 2015. "Macroeconomic Determinants of Liquidity of the Bond Market in Africa: Case Study of South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 88-103.
    224. D. G. DeBoskey & Peter R. Gillett, 2019. "Another Look: The Impact of Multi-Dimensional Corporate Transparency on US Firms’ Market Liquidity and Analyst Forecast Properties," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-35, June.
    225. Alford, Andrew W. & Jones, Jonathan D., 1998. "Financial reporting and information asymmetry: an empirical analysis of the SEC's information-supplying exemption for foreign companies," Journal of Corporate Finance, Elsevier, vol. 4(4), pages 373-398, December.
    226. Wittenberg-Moerman, Regina, 2008. "The role of information asymmetry and financial reporting quality in debt trading: Evidence from the secondary loan market," Journal of Accounting and Economics, Elsevier, vol. 46(2-3), pages 240-260, December.
    227. Norris L. Larrymore & Albert J. Murphy, 2009. "Internalization And Market Quality: An Empirical Investigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 337-363, September.
    228. Bettis, J. C. & Coles, J. L. & Lemmon, M. L., 2000. "Corporate policies restricting trading by insiders," Journal of Financial Economics, Elsevier, vol. 57(2), pages 191-220, August.
    229. Joshua Madsen, 2017. "Anticipated Earnings Announcements and the Customer–Supplier Anomaly," Journal of Accounting Research, Wiley Blackwell, vol. 55(3), pages 709-741, June.
    230. Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
    231. Sadka, Ronnie, 2011. "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 144-152.
    232. Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
    233. Elizabeth Gutierrez & Miguel Minutti-Meza & Kay W. Tatum & Maria Vulcheva, 2018. "Consequences of adopting an expanded auditor’s report in the United Kingdom," Review of Accounting Studies, Springer, vol. 23(4), pages 1543-1587, December.
    234. Raman Kumar & Marius Popescu, 2014. "The implied intra-day probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 357-371, February.
    235. Ormazabal, Gaizka & Barth, Mary E. & Badia, Marc & Duro, Miguel, 2017. "Firm Risk and Disclosures about Dispersion in Asset Values:," CEPR Discussion Papers 12144, C.E.P.R. Discussion Papers.
    236. Siikanen, Milla & Kanniainen, Juho & Valli, Jaakko, 2017. "Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic," Finance Research Letters, Elsevier, vol. 21(C), pages 264-271.
    237. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    238. Alex Frino & Riccardo Palumbo & Francesco Capalbo & Dionigi Gerace & Vito Mollica, 2013. "Information Disclosure and Stock Liquidity: Evidence from Borsa Italiana," Abacus, Accounting Foundation, University of Sydney, vol. 49(4), pages 423-440, December.
    239. Sun, Bianxia & Gao, Yang, 2020. "Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    240. Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
    241. Zhou, Deqing & Zhen, Fang, 2021. "Risk aversion, informative noise trading, and long-lived information," Economic Modelling, Elsevier, vol. 97(C), pages 247-254.
    242. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    243. Martínez, Miguel Ángel & Yzaguirre, J. & Tapia, Mikel, 1998. "Information transmission around block trades on the Spanish stock market," DEE - Working Papers. Business Economics. WB 6531, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    244. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
    245. David R. Gallagher & Adrian Looi & Matt Pinnuck, 2010. "Are active fund managers collectors of private information or fast interpreters of public information?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 635-662, September.
    246. Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
    247. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
    248. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
    249. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
    250. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    251. Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong, 2018. "The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ," Journal of Financial Markets, Elsevier, vol. 41(C), pages 17-35.
    252. Maloney, Michael T. & Mulherin, J. Harold, 2003. "The complexity of price discovery in an efficient market: the stock market reaction to the Challenger crash," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 453-479, September.
    253. Amiram, Dan & Owens, Edward & Rozenbaum, Oded, 2016. "Do information releases increase or decrease information asymmetry? New evidence from analyst forecast announcements," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 121-138.
    254. Perotti, Pietro, 2010. "Order aggressiveness as a metric to assess the usefulness of accounting information," The International Journal of Accounting, Elsevier, vol. 45(3), pages 306-333, September.
    255. Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
    256. Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu, 2018. "Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 715-730, June.
    257. James B. Wiggins, 1994. "Open Market Stock Repurchase Programs And Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 217-229, June.
    258. Kruger, Samuel, 2018. "Disagreement and Liquidity," SocArXiv mfx6w, Center for Open Science.
    259. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
    260. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 423-450.
    261. Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 196-211.
    262. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    263. Nemit Shroff & Amy X. Sun & Hal D. White & Weining Zhang, 2013. "Voluntary Disclosure and Information Asymmetry: Evidence from the 2005 Securities Offering Reform," Journal of Accounting Research, Wiley Blackwell, vol. 51(5), pages 1299-1345, December.
    264. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    265. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
    266. Bollen, Nicolas P.B. & Christie, William G., 2009. "Market microstructure of the Pink Sheets," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1326-1339, July.
    267. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2010. "The Price Impact of Order Book Events," Papers 1011.6402, arXiv.org, revised Apr 2011.
    268. Steven V. Mann & Pradipkumar Ramanlal, 1996. "The Dealers' Price/Size Quote And Market Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 243-271, June.
    269. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.
    270. Martínez Sedano, Miguel Ángel & Rubio Irigoyen, Gonzalo & Tapia, Mikel, 2002. "Understanding the ex-ante cost of liquidity in the limit order book: A note," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    271. Alex Frino & Michael Garcia & Zeyang Zhou, 2020. "Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 749-760, May.
    272. Hung, Shengmin & Qiao, Zheng, 2017. "Shadows in the Sun: Crash risk behind Earnings Transparency," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 1-18.
    273. Bacidore, Jeffrey M., 1997. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 92-120, April.
    274. Ahn, Hee-Joon & Cheung, Yan-Leung, 1999. "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 539-556, December.
    275. Bacidore, Jeffrey M. & Battalio, Robert H. & Jennings, Robert H., 2002. "Depth improvement and adjusted price improvement on the New York stock exchange," Journal of Financial Markets, Elsevier, vol. 5(2), pages 169-195, April.
    276. Luo, Jiawen & Chen, Langnan & Liu, Hao, 2013. "Distribution characteristics of stock market liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 6004-6014.
    277. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, March.
    278. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2660-2671.
    279. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
    280. Smales, Lee A., 2015. "Asymmetric volatility response to news sentiment in gold futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 161-172.
    281. Renee Weiss & John Shon, 2017. "Information Asymmetry and Voluntary SFAS 157 Fair Value Disclosures by Bank Holding Companies During the 2007 Financial Crisis," Accounting Perspectives, John Wiley & Sons, vol. 16(3), pages 169-203, September.
    282. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2014. "Spread determinants and the day-of-the-week effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 51-60.
    283. Kira Muratov-Szabó & Kata Váradi, 2019. "The Impact of Adverse Selection on Stock Exchange Specialists’ Price Quotation Strategy," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(1), pages 88-124.
    284. Voev, Valeri, 2006. "A trade-by-trade surprise measure and its relation to observed spreads on the NYSE," CoFE Discussion Papers 06/03, University of Konstanz, Center of Finance and Econometrics (CoFE).
    285. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    286. Frino, Alex & Mollica, Vito & Monaco, Eleonora & Palumbo, Riccardo, 2017. "The effect of algorithmic trading on market liquidity: Evidence around earnings announcements on Borsa Italiana," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 82-90.
    287. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015.
    288. Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.
    289. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2002. "The change in trading activity on volatility and adverse selection component: evidence from ADR splits," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 323-345.
    290. Shin Hyoung Kwon, 2016. "The Effect of Internal Control Problems on the Bid-Ask Spread under SOX Section 302," Accounting and Finance Research, Sciedu Press, vol. 5(1), pages 180-180, February.
    291. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015.
    292. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
    293. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3.
    294. Rühl, Tobias R. & Stein, Michael, 2015. "The impact of ECB macro-announcements on bid–ask spreads of European blue chips," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 54-71.
    295. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.
    296. Qianyun Huang & Terrance R. Skantz, 2016. "The informativeness of pro forma and street earnings: an examination of information asymmetry around earnings announcements," Review of Accounting Studies, Springer, vol. 21(1), pages 198-250, March.
    297. Grigori Erenburg & Dennis Lasser, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 172-182, October.
    298. Karl A. Muller, III & Edward J. Riedl & Thorsten Sellhorn, 2011. "Mandatory Fair Value Accounting and Information Asymmetry: Evidence from the European Real Estate Industry," Management Science, INFORMS, vol. 57(6), pages 1138-1153, June.
    299. Fung, Hung-Gay & Patterson, Gary A., 1999. "The dynamic relationship of volatility, volume, and market depth in currency futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 33-59, January.
    300. Sebahattin Demirkan & Harlan Platt, 2018. "Differential Investors Response to Restatement Announcements: An Empirical Investigation," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(2), pages 29-59.
    301. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
    302. Joao Amaro de Matos & Ana Lacerda, 2006. "Equilibrium bid-ask spread of European derivatives in dry markets," Nova SBE Working Paper Series wp480, Universidade Nova de Lisboa, Nova School of Business and Economics.
    303. Huang, Yu Chuan, 2004. "The market microstructure and relative performance of Taiwan stock index futures: a comparison of the Singapore exchange and the Taiwan futures exchange," Journal of Financial Markets, Elsevier, vol. 7(3), pages 335-350, June.
    304. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.
    305. Jieun Lee & Doojin Ryu & Ali M. Kutan, 2016. "Monetary Policy Announcements, Communication, and Stock Market Liquidity," Australian Economic Papers, Wiley Blackwell, vol. 55(3), pages 227-250, September.
    306. Campbell, Brett & Drake, Michael & Thornock, Jacob & Twedt, Brady, 2023. "Earnings Virality," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    307. Yu, Kun & Hagigi, Moshe & Stewart, Scott D., 2018. "Income smoothing may result in increased perceived riskiness: Evidence from bid-ask spreads around loss announcements," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 442-459.
    308. Gonzalo Rubio & Mikel Tapia, 1996. "Adverse selection, volume and transactions around dividend announcements in a continuous auction system," European Financial Management, European Financial Management Association, vol. 2(1), pages 39-67, March.
    309. Tarun Chordia & Jianfeng Hu & Avanidhar Subrahmanyam & Qing Tong, 2019. "Order Flow Volatility and Equity Costs of Capital," Management Science, INFORMS, vol. 65(4), pages 1520-1551, April.
    310. Jaemin Kim, 2005. "Cross-sectional differences in the liquidity effects of open market share repurchases," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 29(1), pages 1-31, March.

  12. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.

    Cited by:

    1. Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2021. "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," Staff Reports 993, Federal Reserve Bank of New York.
    2. Brogaard, Jonathan & Li, Dan & Xia, Ying, 2017. "Stock liquidity and default risk," Journal of Financial Economics, Elsevier, vol. 124(3), pages 486-502.
    3. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
    4. Ralf Becker & Adam Clements, 2010. "Volatility and the role of order book structure," NCER Working Paper Series 64, National Centre for Econometric Research.
    5. Clarke, Jonathan E. & Fee, C. Edward & Thomas, Shawn, 2004. "Corporate diversification and asymmetric information: evidence from stock market trading characteristics," Journal of Corporate Finance, Elsevier, vol. 10(1), pages 105-129, January.
    6. Fong, Wai-Ming, 1996. "New York Stock Exchange trading halts and volatility," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 243-257.
    7. Ivanov, Stoyu I., 2016. "Analysis of ETF bid-ask spread components," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 249-259.
    8. Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
    9. Paolo Pasquariello & Clara Vega, 2015. "Strategic Cross-Trading in the U.S. Stock Market," Review of Finance, European Finance Association, vol. 19(1), pages 229-282.
    10. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
    11. Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom, 2016. "Assessing the information content of short-selling metrics using daily disclosures," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 188-204.
    12. Hyuk Choe & Bong-Chan Kho & René M. Stulz, 2005. "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 795-829.
    13. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    14. Manfen Chen & Rohan Christie-David & William Moore, 2007. "Deregulation, news releases, and price discovery," Journal of Regulatory Economics, Springer, vol. 31(3), pages 289-312, June.
    15. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. Dimitrios Karyampas & Paola Paiardini, 2011. "Probability of Informed Trading and Volatility for an ETF," Birkbeck Working Papers in Economics and Finance 1101, Birkbeck, Department of Economics, Mathematics & Statistics.
    17. Frino, Alex & Jarnecic, Elvis & Lepone, Andrew, 2009. "An event time study of the price reaction to large retail trades," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 617-632, May.
    18. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    19. Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
    20. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    21. Rohini Grover, 2017. "The informational role of algorithmic traders in the option market," Working Papers id:11701, eSocialSciences.
    22. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
    23. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    24. Gao, Bin & Xie, Jun & Jia, Yun, 2019. "A futures pricing model with long-term and short-term traders," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 9-28.
    25. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    26. Benos, Evangelos & Sagade, Satchit, 2012. "High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market," Bank of England working papers 469, Bank of England.
    27. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
    28. Pankaj K. Jain & Jang-Chul Kim, 2006. "Investor Recognition, Liquidity, and Exchange Listings in the Reformed Markets," Financial Management, Financial Management Association, vol. 35(2), Summer.
    29. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
    30. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
    31. Hendershott, Terrence & Moulton, Pamela C., 2011. "Automation, speed, and stock market quality: The NYSE's Hybrid," Journal of Financial Markets, Elsevier, vol. 14(4), pages 568-604, November.
    32. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
    33. Kao, Erin H. & Fung, Hung-Gay, 2012. "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 195-209.
    34. Wentworth Boynton & Steven Jordan, 2006. "Will the Smart Institutional Investor Always Drive Prices to Fundamental Value?," Yale School of Management Working Papers amz2357, Yale School of Management, revised 19 Nov 2006.
    35. Anu Bharadwaj & James B. Wiggins, 2003. "Trade Imbalances and Inventory Effects in Long‐term S&P 500 Index Options," The Financial Review, Eastern Finance Association, vol. 38(2), pages 293-309, May.
    36. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
    37. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2003. "Determinants of Daily Fluctuations in Liquidity and Trading Activity," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 728-751.
    38. Tian, Xiao & Do, Binh & Duong, Huu Nhan & Kalev, Petko S., 2015. "Liquidity provision and informed trading by individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 143-162.
    39. Richard W. Sias, 1997. "Price Pressure And The Role Of Institutional Investors In Closed-End Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 211-229, June.
    40. Fuller, Kathleen P., 2003. "The impact of informed trading on dividend signaling: a theoretical and empirical examination," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 385-407, September.
    41. Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
    42. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    43. Attig, Najah & El Ghoul, Sadok, 2021. "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, vol. 71(C).
    44. Ignacio Arango & Diego A. Agudelo, 2017. "How does information disclosure affect liquidity?Evidence from an Emerging Market," Documentos de Trabajo de Valor Público 16990, Universidad EAFIT.
    45. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
    46. Hankil Kang & Jangkoo Kang & Soonhee Lee, 2016. "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2335-2347, October.
    47. John Campbell & Tarun Ramadorai & Tuomo Vuolteenaho, 2004. "Caught On Tape: Predicting Institutional Ownership With Order Flow," Finance 0405012, University Library of Munich, Germany.
    48. Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
    49. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    50. Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen, 2011. "The characteristics of informed trading: Implications for asset pricing," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 782-801.
    51. Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
    52. Armstrong, Christopher S. & Balakrishnan, Karthik & Cohen, Daniel, 2012. "Corporate governance and the information environment: Evidence from state antitakeover laws," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 185-204.
    53. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1015-1042, September.
    54. Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
    55. Fahlenbrach, Rüdiger & Sandås, Patrik, 2010. "Does information drive trading in option strategies?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2370-2385, October.
    56. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
    57. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
    58. Michael J. Barclay & Terrence Hendershott & D. Timothy McCormick, 2003. "Competition among Trading Venues: Information and Trading on Electronic Communications Networks," Journal of Finance, American Finance Association, vol. 58(6), pages 2637-2665, December.
    59. Mike Burkart & Samuel Lee, 2012. "Smart Buyers," FMG Discussion Papers dp696, Financial Markets Group.
    60. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
    61. Krishnamurti, Chandrasekhar & Sevic, Aleksandar & Sevic, Zeljko, 2005. "Voluntary disclosure, transparency, and market quality: Evidence from emerging market ADRs," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 435-454, October.
    62. Dinh, Minh Thi Hong, 2018. "The relationship between volume imbalance and spread," Research in International Business and Finance, Elsevier, vol. 44(C), pages 76-87.
    63. James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023. "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 29-50.
    64. Jay F. Coughenour & Daniel N. Deli, 2002. "Liquidity Provision and the Organizational Form of NYSE Specialist Firms," Journal of Finance, American Finance Association, vol. 57(2), pages 841-869, April.
    65. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
    66. Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 46(3), pages 293-319, December.
    67. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
    68. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    69. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, vol. 101(1), pages 127-141, June.
    70. A. Durre & H. Beltran & P. Giot, 2005. "Volatility regimes and the provision of liquidity in order book markets," Post-Print hal-00268757, HAL.
    71. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
    72. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
    73. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    74. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    75. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    76. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2018. "The maximum bid-ask spread," Journal of Financial Markets, Elsevier, vol. 41(C), pages 1-16.
    77. Koski, Jennifer Lynch, 1998. "Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 143-162.
    78. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
    79. Sugato Chakravarty & Bonnie F. Van Ness & Robert A. Van Ness, 2005. "The Effect of Decimalization on Trade Size and Adverse Selection Costs," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 1063-1081, June.
    80. Radygin, Alexander (Радыгин, Александр) & Akshentceva, Kseniia (Акшенцева, Ксения) & Chernovа, Maria (Чернова, Мария) & Abramov, Alexander (Абрамов, Александр), 2017. "Factors Affecting the Liquidity of Corporate Bonds [Факторы, Влияющие На Ликвидность Корпоративных Облигаций]," Working Papers 041706, Russian Presidential Academy of National Economy and Public Administration.
    81. Juan Jose Cruces & Enrique L. Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America: A Sequential Trade Model Approach," Working Papers 86, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
    82. Bennett, Benjamin & Stulz, René & Wang, Zexi, 2020. "Does the stock market make firms more productive?," Journal of Financial Economics, Elsevier, vol. 136(2), pages 281-306.
    83. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
    84. Tao Chen & Andreas Karathanasopoulos, 2022. "Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?," Abacus, Accounting Foundation, University of Sydney, vol. 58(4), pages 714-741, December.
    85. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2013. "The price impact of options and futures volume in after-hours stock market trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 984-1007.
    86. 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.
    87. Kempf, Alexander & Korn, Olaf, 1999. "Market depth and order size1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 29-48, February.
    88. Doureige J. Jurdi, 2020. "Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    89. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
    90. Asani Sarkar & Robert A. Schwartz, 2007. "Market sidedness: insights into motives for trade initiation," Staff Reports 292, Federal Reserve Bank of New York.
    91. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
    92. Wang, Xiaolin & Ye, Qiang & Zhao, Feng, 2016. "Trading activity and price behavior in Chinese agricultural futures markets," Finance Research Letters, Elsevier, vol. 18(C), pages 52-59.
    93. Marcin Kacperczyk & Emiliano S Pagnotta, 2019. "Chasing Private Information," The Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 4997-5047.
    94. Malay K. Dey & B. Radhakrishna (Radha), 2007. "Who Trades Around Earnings Announcements? Evidence from TORQ Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 269-291, January.
    95. Seida, Jim A. & Wempe, William F., 2000. "Do capital gain tax rate increases affect individual investors' trading decisions?," Journal of Accounting and Economics, Elsevier, vol. 30(1), pages 33-57, August.
    96. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
    97. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series 2013/14, Lund University, Knut Wicksell Centre for Financial Studies.
    98. George J. Jiang & Guanzhong Pan, 2022. "Speculation or hedging?—Options trading prior to FOMC announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 212-230, February.
    99. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    100. Gerhard, Frank & Hess, Dieter & Pohlmeier, Winfried, 1998. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Papers 98/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    101. Ahmed Baig & Jason Berkowitz & Ronald Jared DeLisle & Todd Griffith, 2023. "COVID‐19 intensity across U.S. states and the liquidity of U.S. equity markets," The Financial Review, Eastern Finance Association, vol. 58(2), pages 235-259, May.
    102. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
    103. George Tannous & Juan Wang & Craig Wilson, 2013. "The Intraday Pattern of Information Asymmetry, Spread, and Depth: Evidence from the NYSE," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 215-240, June.
    104. Robert P. Bartlett & Justin McCrary, 2020. "Subsidizing Liquidity with Wider Ticks: Evidence from the Tick Size Pilot Study," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 17(2), pages 262-316, June.
    105. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 321-340, March.
    106. Aktas, Nihat & de Bodt, Eric & Declerck, Fany & Van Oppens, Herve, 2007. "The PIN anomaly around M&A announcements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 169-191, May.
    107. Anand, Amber & Chakravarty, Sugato & Chuwonganant, Chairat, 2009. "Cleaning house: Stock reassignments on the NYSE," Journal of Financial Markets, Elsevier, vol. 12(4), pages 727-753, November.
    108. Ghadhab, Imen, 2018. "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 1-10.
    109. Hanousek, Jan & Podpiera, Richard, 2004. "Czech experience with market maker trading system," Economic Systems, Elsevier, vol. 28(2), pages 177-191, June.
    110. Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
    111. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2015. "Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana," Financial Management, Financial Management Association International, vol. 44(4), pages 905-945, October.
    112. Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009. "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 98-112, January.
    113. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    114. L. Bosetti & P. Gottardo & M. Murgia & A. Pinna, 2015. "The Impact of Large Orders in Electronic Markets," Working Paper CRENoS 201510, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    115. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2020. "Comparing the market microstructure between two South African exchanges," Papers 2011.04367, arXiv.org.
    116. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
    117. Tao Xiong & Miao Li, 2024. "A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 281-301, February.
    118. Baginski, Stephen P. & Demers, Elizabeth & Kausar, Asad & Yu, Yingri Julia, 2018. "Linguistic tone and the small trader," Accounting, Organizations and Society, Elsevier, vol. 68, pages 21-37.
    119. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351.
    120. Lawrence Kryzanowski & Skander Lazrak, 2007. "Trading Activity, Trade Costs and Informed Trading for Acquisition Targets and Acquirers," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 405-439.
    121. Alex Frino & Vito Mollica & Maria Grazia Romano & Zeyang Zhou, 2017. "Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(4), pages 359-373, April.
    122. Henderson, Brian J. & Pearson, Neil D. & Wang, Li, 2020. "Pre-trade hedging: Evidence from the issuance of retail structured products," Journal of Financial Economics, Elsevier, vol. 137(1), pages 108-128.
    123. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, University Library of Munich, Germany.
    124. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    125. Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
    126. Keßler, Andreas & Mählmann, Thomas, 2022. "Trading costs of private debt," Journal of Financial Markets, Elsevier, vol. 59(PB).
    127. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
    128. Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
    129. Erik Theissen, 2002. "Floor versus Screen Trading: Evidence from the German Stock Market," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 158(1), pages 32-54, March.
    130. Boulton, Thomas J. & Braga-Alves, Marcus V., 2020. "Price stabilization, short selling, and IPO secondary market liquidity," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 278-291.
    131. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
    132. Ravi, Rahul & Hong, Youna, 2014. "Firm opacity and financial market information asymmetry," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 83-94.
    133. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
    134. Dan Bernhardt & Eric Hughson, 1991. "Intraday Trade in Dealership Markets," Working Paper 841, Economics Department, Queen's University.
    135. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Norwegian School of Economics, Department of Business and Management Science.
    136. Dennis J. Whalen & Charles D. Collver, 2004. "Informed Trading Around Earnings Announcements: Another Look," The Financial Review, Eastern Finance Association, vol. 39(3), pages 409-434, August.
    137. Erik Theissen, 2003. "Trader Anonymity, Price Formation and Liquidity," Review of Finance, European Finance Association, vol. 7(1), pages 1-26.
    138. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
    139. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
    140. William Cready & Abdullah Kumas & Musa Subasi, 2014. "Are Trade Size‐Based Inferences About Traders Reliable? Evidence from Institutional Earnings‐Related Trading," Journal of Accounting Research, Wiley Blackwell, vol. 52(4), pages 877-909, September.
    141. Aitken, Michael & Frino, Alex, 1996. "The accuracy of the tick test: Evidence from the Australian stock exchange," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1715-1729, December.
    142. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
    143. Paul Asquith & Rebecca Oman & Christopher Safaya, 2008. "Short Sales and Trade Classification Algorithms," NBER Working Papers 14158, National Bureau of Economic Research, Inc.
    144. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
    145. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 1-16, January.
    146. Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
    147. Ronen, Tavy & Weaver, Daniel G., 2001. "'Teenies' anyone?," Journal of Financial Markets, Elsevier, vol. 4(3), pages 231-260, June.
    148. Barbara Będowska-Sójka, 2021. "Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange," Annals of Operations Research, Springer, vol. 297(1), pages 37-51, February.
    149. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    150. Raymond M Brooks & Ajay Patel, 2000. "Information conveyed by seasoned security offerings: evidence from components of the bid–ask spread," Review of Financial Economics, John Wiley & Sons, vol. 9(2), pages 83-99, December.
    151. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
    152. Chen, Tao, 2020. "Does news affect disagreement in global markets?," Journal of Business Research, Elsevier, vol. 109(C), pages 174-183.
    153. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007. "Are Short-sellers Different?," MPRA Paper 13585, University Library of Munich, Germany, revised 16 Nov 2008.
    154. Walsh, David M., 1997. "Price reaction to order flow 'news' in Australian equities," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 1-23, February.
    155. Flannery, Mark J. & Kwan, Simon H. & Nimalendran, Mahendrarajah, 2013. "The 2007–2009 financial crisis and bank opaqueness," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 55-84.
    156. Thu Phuong Pham, 2015. "Broker ID transparency and price impact of trades: evidence from the Korean Exchange," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 11(1), pages 117-131, February.
    157. Easley, David & O'Hara, Maureen & Paperman, Joseph, 1998. "Financial analysts and information-based trade," Journal of Financial Markets, Elsevier, vol. 1(2), pages 175-201, August.
    158. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
    159. Easley, David & de Prado, Marcos Lopez & O'Hara, Maureen, 2016. "Discerning information from trade data," Journal of Financial Economics, Elsevier, vol. 120(2), pages 269-285.
    160. Kim, Y. Han (Andy), 2013. "Self attribution bias of the CEO: Evidence from CEO interviews on CNBC," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2472-2489.
    161. Frömmel, Michael & D'Hoore, Dick & Lampaert, Kevin, 2021. "The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market," Finance Research Letters, Elsevier, vol. 42(C).
    162. 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.
    163. Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013. "Does Commonality in Illiquidity Matter to Investors?," Working Papers 2013:24, Lund University, Department of Economics.
    164. Yingyi Hu, 2019. "Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market," Annals of Operations Research, Springer, vol. 281(1), pages 253-274, October.
    165. Pagano, Michael S. & Sedunov, John & Velthuis, Raisa, 2021. "How did retail investors respond to the COVID-19 pandemic? The effect of Robinhood brokerage customers on market quality," Finance Research Letters, Elsevier, vol. 43(C).
    166. Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021. "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, vol. 131(C).
    167. Eom, Yunsung & Hahn, Jaehoon & Sohn, Wook, 2021. "Short sales restrictions and market quality: Evidence from Korea," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    168. Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
    169. Chung, Kee H. & Chuwonganant, Chairat, 2009. "Transparency and market quality: Evidence from SuperMontage," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 93-111, January.
    170. Alasdair Brown & Fuyu Yang, 2014. "Have Betting Exchanges Corrupted Horse Racing?," University of East Anglia Applied and Financial Economics Working Paper Series 066, School of Economics, University of East Anglia, Norwich, UK..
    171. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Jan 2024.
    172. Cohen, Lauren & Lou, Dong, 2011. "Complicated firms," LSE Research Online Documents on Economics 119066, London School of Economics and Political Science, LSE Library.
    173. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
    174. Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013. "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 591-601.
    175. Qin Zhang & Jin Boon Wong, 2023. "The influence of oil price uncertainty on stock liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 141-167, February.
    176. Christopher S. Armstrong & John E. Core & Daniel J. Taylor & Robert E. Verrecchia, 2011. "When Does Information Asymmetry Affect the Cost of Capital?," Journal of Accounting Research, Wiley Blackwell, vol. 49(1), pages 1-40, March.
    177. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    178. Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
    179. Ellis, Katrina, 2006. "Who trades IPOs? A close look at the first days of trading," Journal of Financial Economics, Elsevier, vol. 79(2), pages 339-363, February.
    180. Harris, Lawrence E. & Panchapagesan, Venkatesh, 2005. "The information content of the limit order book: evidence from NYSE specialist trading decisions," Journal of Financial Markets, Elsevier, vol. 8(1), pages 25-67, February.
    181. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    182. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    183. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
    184. Kentaro Iwatsubo & Tomoki Taishi, 2016. "Quantitative Easing and Liquidity in the Japanese Government Bond Market," IMES Discussion Paper Series 16-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
    185. Ben-David, Itzhak & Franzoni, Francesco & Landier, Augustin & Moussawi, Rabih, 2011. "Do Hedge Funds Manipulate Stock Prices?," TSE Working Papers 11-221, Toulouse School of Economics (TSE).
    186. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
    187. Copeland, Laurence & Wong, Woon K & Zeng, Y, 2008. "Information-Based Trade in the Shanghai StockMarket," Cardiff Economics Working Papers E2008/2, Cardiff University, Cardiff Business School, Economics Section.
    188. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
    189. Lin, Chih-Yung & Bui, Dien Giau & Lin, Tse-Chun, 2020. "Do short sellers exploit risky business models of banks? Evidence from two banking crises," Journal of Financial Stability, Elsevier, vol. 46(C).
    190. Kaun Y. Lee & Kee H. Chung, 2009. "Information‐Based Trading and Price Improvement," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 754-773, June.
    191. Jan Hanousek & František Kopøiva, 2011. "Detecting Information-Driven Trading in a Dealers Market," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 204-229, July.
    192. Rösch, Dominik M. & Subrahmanyam, Avanidhar & van Dijk, Mathijs A., 2022. "Investor short-termism and real investment," Journal of Financial Markets, Elsevier, vol. 59(PB).
    193. Hung, Chiayu & Lai, Hung-Neng, 2022. "Information asymmetry and the profitability of technical analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    194. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
    195. Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002. "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers ysm251, Yale School of Management, revised 08 Jun 2006.
    196. Ivo Welch, 2022. "The Wisdom of the Robinhood Crowd," Journal of Finance, American Finance Association, vol. 77(3), pages 1489-1527, June.
    197. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 113-132.
    198. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
    199. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    200. Farrell, Michael & Green, T. Clifton & Jame, Russell & Markov, Stanimir, 2022. "The democratization of investment research and the informativeness of retail investor trading," Journal of Financial Economics, Elsevier, vol. 145(2), pages 616-641.
    201. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 273-293.
    202. Dar-Hsin Chen & Lloyd P. Blenman, 2003. "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 2(1), pages 75-83, April.
    203. Braga-Alves, Marcus V., 2018. "Political risk and the equity trading costs of cross-listed firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 232-244.
    204. Meihui Guo & Yi-Ting Guo & Chi-Jeng Wang & Liang-Ching Lin, 2015. "Assessing influential trade effects via high-frequency market reactions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1458-1471, July.
    205. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    206. Frank, Julieta & Garcia, Philip, 2006. "Estimating Liquidity Costs in Agricultural Futures Markets using Bayesian Methods," 2006 Annual meeting, July 23-26, Long Beach, CA 21331, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    207. Tse, Yiuman & Devos, Erik, 2004. "Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 63-83, January.
    208. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
    209. Yang-Cheng Lu & Yu-Chen Wei, 2013. "The Chinese News Sentiment around Earnings Announcements," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 44-58, October.
    210. Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019. "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 190-212.
    211. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    212. Ryan GARVEY & Fei WU, 2012. "Are Market Center Trading Cost Measures Reliable?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 505-517, December.
    213. Xiaojun Chu & Jianying Qiu, 2021. "Forecasting stock returns using first half an hour order imbalance," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3236-3245, July.
    214. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    215. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
    216. Ekkehart Boehmer & Gary Sanger & Sanjay Varshney, 2004. "Managerial bonding and stock liquidity: An analysis of dual-class firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(1), pages 117-131, March.
    217. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    218. Benveniste, Lawrence M. & M. Erdal, Sina & Wilhelm Jr., William J., 1998. "Who benefits from secondary market price stabilization of IOPs?," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 741-767, August.
    219. Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
    220. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    221. He, Yan & Wang, Junbo & Wei, K.C. John, 2011. "Do bond rating changes affect the information asymmetry of stock trading?," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 103-116, January.
    222. Jing Nie, 2019. "High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1394-1434, November.
    223. Lin, Mei-Chen, 2023. "Time-varying MAX preference: Evidence from revenue announcements," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    224. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    225. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
    226. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
    227. Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.
    228. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
    229. Petr Strnad, 2009. "Market liquidity risk and its incorporation into value at risk [Riziko tržní likvidity a jeho zohlednění v ukazateli value at risk]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2009(2), pages 21-37.
    230. Mario Anolli & Giovanni Petrella, 2008. "Qualità della negoziazione e tutela dell'investitore," Rivista di Politica Economica, SIPI Spa, vol. 98(1), pages 295-353, January-F.
    231. Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
    232. Collver, Charles, 2009. "Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions," Journal of Financial Markets, Elsevier, vol. 12(1), pages 87-106, February.
    233. Bessembinder, Hendrik, 2003. "Quote-based competition and trade execution costs in NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 70(3), pages 385-422, December.
    234. Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
    235. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
    236. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
    237. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
    238. Bogousslavsky, Vincent & Collin-Dufresne, Pierre & Sağlam, Mehmet, 2021. "Slow-moving capital and execution costs: Evidence from a major trading glitch," Journal of Financial Economics, Elsevier, vol. 139(3), pages 922-949.
    239. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7w8106qn, Anderson Graduate School of Management, UCLA.
    240. Pan, Kevin & Zeng, Yao, 2017. "ETF arbitrage under liquidity mismatch," ESRB Working Paper Series 59, European Systemic Risk Board.
    241. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    242. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
    243. Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
    244. Olga Dodd & Aaron Gilbert, 2016. "The Impact of Cross-Listing on the Home Market's Information Environment and Stock Price Efficiency," The Financial Review, Eastern Finance Association, vol. 51(3), pages 299-328, August.
    245. Michael Schneider & Fabrizio Lillo, 2016. "Cross-impact and no-dynamic-arbitrage," Papers 1612.07742, arXiv.org, revised Aug 2017.
    246. Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert A., 2018. "Odd-lot trading in U.S. equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 125-133.
    247. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
    248. Chakrabarty, Bidisha & Li, Bingguang & Nguyen, Vanthuan & Van Ness, Robert A., 2007. "Trade classification algorithms for electronic communications network trades," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3806-3821, December.
    249. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
    250. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    251. Zhou, Hao & Elliott, Robert J. & Kalev, Petko S., 2019. "Information or noise: What does algorithmic trading incorporate into the stock prices?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 27-39.
    252. Hao Gao & Yuanyu Qu & Tao Shen, 2022. "Geographic proximity and price efficiency: Evidence from high‐speed railway connections between firms and financial centers," Financial Management, Financial Management Association International, vol. 51(1), pages 117-141, March.
    253. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
    254. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
    255. Ralf Bebenroth & Martin Hemmert, 2013. "Are Emerging Market Multinationals Milking Their Cross Border Acquisition Targets? A Study of Inbound Japanese and Korean M&As," Discussion Paper Series DP2013-06, Research Institute for Economics & Business Administration, Kobe University.
    256. Filip Zikes, 2017. "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series 2017-045, Board of Governors of the Federal Reserve System (U.S.).
    257. Ding, Mingfa & Shen, Mi & Suardi, Sandy, 2022. "Blockholders, tradability and information asymmetry: Evidence from Chinese listed firms," Research in International Business and Finance, Elsevier, vol. 60(C).
    258. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    259. Atanasov, Vladimir & Davies, Ryan J. & Merrick, John J., 2015. "Financial intermediaries in the midst of market manipulation: Did they protect the fool or help the knave?," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 210-234.
    260. Massimiliano Marzo & Paolo Zagaglia, 2011. "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper series 20_11, Rimini Centre for Economic Analysis.
    261. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju, 2013. "Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2434-2456.
    262. 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.
    263. Shai Levi & Xiao-Jun Zhang, 2015. "Do Temporary Increases in Information Asymmetry Affect the Cost of Equity?," Management Science, INFORMS, vol. 61(2), pages 354-371, February.
    264. Malay K Dey & B Radhakrishna (Radha), 2008. "Who profits from trading around earnings announcements? Evidence from TORQ data," Journal of Asset Management, Palgrave Macmillan, vol. 9(4), pages 300-308, October.
    265. Peterson, Mark & Sirri, Erik, 2003. "Evaluation of the biases in execution cost estimation using trade and quote data," Journal of Financial Markets, Elsevier, vol. 6(3), pages 259-280, May.
    266. Pekka Malo & Teemu Pennanen, 2012. "Reduced form modeling of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1025-1036, April.
    267. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
    268. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
    269. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity measurement in frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 1-12.
    270. Dominik Poß & Dominik Liebl & Alois Kneip & Hedwig Eisenbarth & Tor D. Wager & Lisa Feldman Barrett, 2020. "Superconsistent estimation of points of impact in non‐parametric regression with functional predictors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(4), pages 1115-1140, September.
    271. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
    272. Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007. "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, vol. 10(1), pages 26-47, February.
    273. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    274. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, University Library of Munich, Germany.
    275. Heinen, Andreas, 2003. "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper 8113, University Library of Munich, Germany.
    276. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
    277. Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
    278. José da Fonseca & Yannick Malevergne, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print halshs-03590382, HAL.
    279. Chen, Xing & Diao, Xundi & Wu, Chongfeng, 2022. "Heterogeneous investor attention and post earnings announcement drift: Evidence from China," Economic Modelling, Elsevier, vol. 110(C).
    280. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
    281. G. Geoffrey Booth & Juha-Pekka Kallunki & Teppo Martikainen, 1999. "Earnings news and the behaviour of large and small traders in the Finnish stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 771-774.
    282. Marco Wölfle, 2009. "Information-based trade in Russia and the effects of listing abroad," Economic Change and Restructuring, Springer, vol. 42(4), pages 229-262, November.
    283. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    284. Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017. "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 385-406, February.
    285. Bae, Kyounghun & Kim, Daejin, 2020. "Liquidity risk and exchange-traded fund returns, variances, and tracking errors," Journal of Financial Economics, Elsevier, vol. 138(1), pages 222-253.
    286. Ahmed, Bouteska, 2020. "Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    287. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
    288. Yan Han & Xue-Feng Shao & Xin Cui & Xiao-Guang Yue & Kelvin Joseph Bwalya & Otilia Manta, 2019. "Assessing Investor Belief: An Analysis of Trading for Sustainable Growth of Stock Markets," Sustainability, MDPI, vol. 11(20), pages 1-18, October.
    289. Engle, Robert F & Patton, Andrew J, 2000. "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series qt6dm6093f, Department of Economics, UC San Diego.
    290. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    291. 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.
    292. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    293. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Working Paper Research 49, National Bank of Belgium.
    294. Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.
    295. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    296. Thomas Johann & Erik Theissen, 2013. "Liquidity measures," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 10, pages 238-255, Edward Elgar Publishing.
    297. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
    298. Shantaram P. Hegde & John B. McDermott, 2004. "Firm Characteristics as Cross‐sectional Determinants of Adverse Selection," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1097-1124, September.
    299. Da, Zhi & Warachka, Mitch, 2011. "The disparity between long-term and short-term forecasted earnings growth," Journal of Financial Economics, Elsevier, vol. 100(2), pages 424-442, May.
    300. Josef Lakonishok & Inmoo Lee & Allen M. Poteshman, 2004. "Investor Behavior in the Option Market," NBER Working Papers 10264, National Bureau of Economic Research, Inc.
    301. Odders-White, Elizabeth R. & Ready, Mark J., 2008. "The probability and magnitude of information events," Journal of Financial Economics, Elsevier, vol. 87(1), pages 227-248, January.
    302. Shiyu Han & Lan Wu & Yuan Cheng, 2016. "Equity Market Impact Modeling: an Empirical Analysis for Chinese Market," Papers 1610.08767, arXiv.org.
    303. Jonathan L. Rogers, 2008. "Disclosure Quality and Management Trading Incentives," Journal of Accounting Research, Wiley Blackwell, vol. 46(5), pages 1265-1296, December.
    304. Wu, Ming & Ohk, Ki Yool, 2023. "Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 409-427.
    305. Steffen Volkenand & Günther Filler & Martin Odening, 2020. "Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities," Risks, MDPI, vol. 8(3), pages 1-17, July.
    306. Angelo Ranaldo, 2002. "Market Dynamics Around Public Information Arrivals," FAME Research Paper Series rp45, International Center for Financial Asset Management and Engineering.
    307. Alex Frino & Luca Galati & Dionigi Gerace, 2022. "Reporting delays and the information content of off‐market trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2053-2067, November.
    308. Jun (Tony) Ruan & Tongshu Ma, 2017. "Bid-Ask Spread, Quoted Depths, and Unexpected Duration Between Trades," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(3), pages 385-436, June.
    309. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
    310. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
    311. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
    312. D'Mello, Ranjan & Ferris, Stephen P. & Hwang, Chuan Yang, 2003. "The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year," Journal of Financial Markets, Elsevier, vol. 6(1), pages 73-98, January.
    313. Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013. "Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps," Swiss Finance Institute Research Paper Series 13-47, Swiss Finance Institute, revised Feb 2016.
    314. Agarwal, Vikas & Jiang, Wei & Tang, Yuehua & Yang, Baozhong, 2010. "Uncovering hedge fund skill from the portfolio holdings they hide," CFR Working Papers 10-09, University of Cologne, Centre for Financial Research (CFR).
    315. Ron Kaniel & Shuming Liu & Gideon Saar & Sheridan Titman, 2012. "Individual Investor Trading and Return Patterns around Earnings Announcements," Journal of Finance, American Finance Association, vol. 67(2), pages 639-680, April.
    316. Bessembinder, Hendrik, 2000. "Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars," Journal of Financial Intermediation, Elsevier, vol. 9(3), pages 213-239, July.
    317. Choi, So Eun & Jang, Hyun Jin & Lee, Kyungsub & Zheng, Harry, 2021. "Optimal market-Making strategies under synchronised order arrivals with deep neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    318. Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Locked and crossed markets on NASDAQ and the NYSE," Journal of Financial Markets, Elsevier, vol. 11(3), pages 308-337, August.
    319. Bartley R. Danielsen & David M. Harrison & Robert A. Van Ness & Richard S. Warr, 2009. "REIT Auditor Fees and Financial Market Transparency," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 515-557, September.
    320. Chen, Tsung-Kang & Liao, Hsien-Hsing & Chen, Wei-Lun, 2014. "Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 266-280.
    321. Tsung-Kang Chen & Yijie Tseng & Yu-Ting Hsieh, 2015. "Real Earnings Management Uncertainty and Corporate Credit Risk," European Accounting Review, Taylor & Francis Journals, vol. 24(3), pages 413-440, September.
    322. Chakrabarty, Bidisha & Shkilko, Andriy, 2013. "Information transfers and learning in financial markets: Evidence from short selling around insider sales," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1560-1572.
    323. Victoria Saporta & Giorgio Trebeschi & Anne Vila, 1999. "Price formation and transparency on the London Stock Exchange," Bank of England working papers 95, Bank of England.
    324. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
    325. Gençay, Ramazan & Gradojevic, Nikola, 2013. "Private information and its origins in an electronic foreign exchange market," Economic Modelling, Elsevier, vol. 33(C), pages 86-93.
    326. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
    327. Alex Frino & Andrew Lepone & Grace Lepone, 2019. "Price Impact of Corporate Bond Trading: Evidence from the Australian Securities Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-22, September.
    328. Janzen, Joseph P. & Smith, Aaron D. & Carter, Colin A., 2012. "The Quality of Price Discovery and the Transition to Electronic Trade: The Case of Cotton Futures," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125024, Agricultural and Applied Economics Association.
    329. Gerhard Kling, 2005. "The impact of trading mechanisms and stock characteristics on order processing and information costs: A panel GMM approach," Economics Bulletin, AccessEcon, vol. 7(5), pages 1-11.
    330. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015. "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, vol. 24(C), pages 1-24.
    331. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    332. Cheng, Feiyang & Wang, Chunfeng & Cui, Xin & Wu, Ji & He, Feng, 2021. "Economic policy uncertainty exposure and stock price bubbles: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
    333. Park, Jihwon & Sani, Jalal & Shroff, Nemit & White, Hal, 2019. "Disclosure incentives when competing firms have common ownership," Journal of Accounting and Economics, Elsevier, vol. 67(2), pages 387-415.
    334. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics," University of California at Los Angeles, Anderson Graduate School of Management qt8wb6140g, Anderson Graduate School of Management, UCLA.
    335. Ke Xu & Xinwei Zheng & Deng Pan & Li Xing & Xuekui Zhang, 2020. "Stock Market Openness And Market Quality: Evidence From The Shanghai–Hong Kong Stock Connect Program," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 373-406, May.
    336. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2021. "Investor sentiment and the pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 38(C).
    337. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, vol. 16(1), pages 127-151.
    338. Corey Garriott & Adrian Walton, 2016. "Retail Order Flow Segmentation," Staff Working Papers 16-20, Bank of Canada.
    339. Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
    340. David Michayluk & Laurie Prather, 2008. "A Liquidity Motivated Algorithm for Discerning Trade Direction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 45-66, March-Jun.
    341. Xiang, Ju & Zhu, Xiaoneng, 2014. "Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 134-148.
    342. Hoffmann, Peter, 2016. "Adverse selection, market access, and inter-market competition," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 108-119.
    343. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
    344. Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
    345. Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers 18984, National Bureau of Economic Research, Inc.
    346. George, Thomas J & Hwang, Chuan-Yang, 2001. "Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing," The Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 979-1020.
    347. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008.
    348. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," LIDAM Reprints LFIN 2014006, Université catholique de Louvain, Louvain Finance (LFIN).
    349. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Working Papers w0208, Center for Economic and Financial Research (CEFIR).
    350. Chang, Sanders S. & Chang, Lenisa V. & Wang, F. Albert, 2014. "A dynamic intraday measure of the probability of informed trading and firm-specific return variation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 80-94.
    351. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
    352. Weiyu Kuo & Yu‐Ching Li, 2011. "Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets," International Review of Finance, International Review of Finance Ltd., vol. 11(4), pages 417-444, December.
    353. Steven Huddart & Mark Lang & Michelle H. Yetman, 2009. "Volume and Price Patterns Around a Stock's 52-Week Highs and Lows: Theory and Evidence," Management Science, INFORMS, vol. 55(1), pages 16-31, January.
    354. Chen, Haiqiang & Choi, Paul Moon Sub, 2012. "Does information vault Niagara Falls? Cross-listed trading in New York and Toronto," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 175-199.
    355. Zhou, Yi, 2022. "Option trading volume by moneyness, firm fundamentals, and expected stock returns," Journal of Financial Markets, Elsevier, vol. 58(C).
    356. Hiroyuki Moriya, 2017. "Quantized price volatility model for transaction data," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 397-408, December.
    357. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
    358. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
    359. Tissaoui, Kais & Ftiti, Zied, 2016. "Liquidity, liquidity risk, and information flow: Lessons from an emerging market," Research in International Business and Finance, Elsevier, vol. 37(C), pages 28-48.
    360. Paolo Mazza, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," Post-Print hal-01563014, HAL.
    361. Campbell, John Y & Schwartz, Allie, 2007. "Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements," CEPR Discussion Papers 6390, C.E.P.R. Discussion Papers.
    362. Yuan Gao & Derek Oler, 2012. "Rumors and pre-announcement trading: why sell target stocks before acquisition announcements?," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 485-508, November.
    363. Theissen, Erik & Zehnder, Lars Simon, 2014. "Estimation of trading costs: Trade indicator models revisited," CFR Working Papers 14-09, University of Cologne, Centre for Financial Research (CFR).
    364. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
    365. Aragon, George O. & Strahan, Philip E., 2012. "Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy," Journal of Financial Economics, Elsevier, vol. 103(3), pages 570-587.
    366. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.
    367. Lehmann, Bruce N., 2003. "What we measure in execution cost measurement," Journal of Financial Markets, Elsevier, vol. 6(3), pages 227-231, May.
    368. Mark J. Flannery & Simon H. Kwan & Mahendrarajah 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.
    369. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, vol. 6(3), pages 233-257, May.
    370. Marcus Lim & Richard Coggins, 2005. "The immediate price impact of trades on the Australian Stock Exchange," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 365-377.
    371. Marios Panayides, 2004. "The Specialist's Participation in Quoted Prices and the NYSE's Price Continuity Rule," Yale School of Management Working Papers amz2384, Yale School of Management, revised 01 Aug 2006.
    372. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
    373. Moonsoo Kang & Kiseok Nam, 2015. "Informed trade and idiosyncratic return variation," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 551-572, April.
    374. Travis L. Johnson & Eric C. So, 2018. "A Simple Multimarket Measure of Information Asymmetry," Management Science, INFORMS, vol. 64(3), pages 1055-1080, March.
    375. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, vol. 8(2), pages 153-181, May.
    376. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
    377. Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated". "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research.
    378. Busse, Jeffrey A. & Clifton Green, T., 2002. "Market efficiency in real time," Journal of Financial Economics, Elsevier, vol. 65(3), pages 415-437, September.
    379. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    380. Klein, Olga, 2020. "Trading aggressiveness and market efficiency," Journal of Financial Markets, Elsevier, vol. 47(C).
    381. Edmund Keung & Zhi‐Xing Lin & Michael Shih, 2010. "Does the Stock Market See a Zero or Small Positive Earnings Surprise as a Red Flag?," Journal of Accounting Research, Wiley Blackwell, vol. 48(1), pages 105-136, March.
    382. Noronha, Gregory M. & Sarin, Atulya & Saudagaran, Shahrokh M., 1996. "Testing for micro-structure effects of international dual listings using intraday data," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 965-983, July.
    383. Pan, Deng & Shi, Jing & Wu, Fei & Zhang, Bohui, 2015. "Investor heterogeneity and commonality in stock return and liquidity," Economic Systems, Elsevier, vol. 39(3), pages 458-473.
    384. Paolo MAZZA & Mikael PETITJEAN, 2016. "On the usefuleness of intraday price ranges to Gauge liquidity in cap-based portfolios," LIDAM Reprints CORE 2780, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    385. Lu, Chia-Wu & Chen, Tsung-Kang & Liao, Hsien-Hsing, 2010. "Information uncertainty, information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2265-2279, September.
    386. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018. "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 143-167.
    387. Guangchuan Li & Lei Lu & Bo Wu & Zhou Zhang, 2014. "Asymmetric information, illiquidity and asset returns: evidence from China," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 947-957, June.
    388. Bessembinder, Hendrik, 1997. "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, vol. 45(1), pages 9-34, July.
    389. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
    390. Xiafei Li & Chris Brooks & Joëlle Miffre, 2009. "Low-cost momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 9(6), pages 366-379, February.
    391. Marshall A. Geiger & Sami Keskek & Abdullah Kumas, 2022. "Trading concentration and industry-specific information: an analysis of auto complaints," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 913-937, October.
    392. Brian Prucyk, 2005. "Specialist Risk Attitudes and the Bid‐Ask Spread," The Financial Review, Eastern Finance Association, vol. 40(2), pages 223-255, May.
    393. Jia, Yun & Yang, Chunpeng, 2017. "Disagreement and the risk-return relation," Economic Modelling, Elsevier, vol. 64(C), pages 97-104.
    394. Robert P. Bartlett, III & Justin McCrary, 2015. "Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision," NBER Working Papers 21286, National Bureau of Economic Research, Inc.
    395. Huang, Roger D. & Stoll, Hans R., 2001. "Exchange rates and firms' liquidity: evidence from ADRs," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 297-325, June.
    396. Sunando Sengupta, 2007. "Implications Of European Trading For The New York Stock Exchange Open," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(2), pages 25-39.
    397. Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019. "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 50-64.
    398. Ben Sita, Bernard, 2010. "Autocorrelation of the trade process: Evidence from the Helsinki Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 538-547, November.
    399. Michele O'Neill & Judith Swisher, 2003. "Institutional Investors and Information Asymmetry: An Event Study of Self‐Tender Offers," The Financial Review, Eastern Finance Association, vol. 38(2), pages 197-211, May.
    400. Lauren Cohen & Dong Lou, 2011. "Complicated Firms," FMG Discussion Papers dp683, Financial Markets Group.
    401. Nusret Cakici & Gautam Goswami & Sinan Tan, 2018. "Equity Options During the Shorting Ban of 2008," JRFM, MDPI, vol. 11(2), pages 1-31, March.
    402. Fan, Longzhen & Hu, Bill & Jiang, Christine, 2012. "Pricing and information content of block trades on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 378-397.
    403. Boulton, Thomas J. & Braga-Alves, Marcus V. & Kulchania, Manoj, 2014. "The flash crash: An examination of shareholder wealth and market quality," Journal of Financial Intermediation, Elsevier, vol. 23(1), pages 140-156.
    404. Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 1999. "How does liquidity behave? A multidimensional analysis of NYSE stocks," DEE - Working Papers. Business Economics. WB 6433, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    405. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
    406. Malmendier, Ulrike M. & Shanthikumar, Devin, 2004. "Are Investors Naive about Incentives?," Research Papers 1867, Stanford University, Graduate School of Business.
    407. Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
    408. Joanna Olbryś & Michał Mursztyn, 2017. "Measurement of stock market liquidity supported by an algorithm inferring the initiator of a trade," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(4), pages 111-127.
    409. Hsieh, Tsung-Han & Li, Youwei & McKillop, Donal G. & Wu, Yuliang, 2018. "Liquidity skewness in the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 12-18.
    410. Dian‐Xuan Kao & Wei‐Che Tsai & Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "An analysis on the intraday trading activity of VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 158-174, February.
    411. Valseth, Siri, 2023. "Repo market frictions and intermediation in electronic bond markets," UiS Working Papers in Economics and Finance 2023/1, University of Stavanger.
    412. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.
    413. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
    414. Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2013. "Price impact of block trades in the Saudi stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 322-341.
    415. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
    416. Dean Hanlon & Sean Pinder, 2013. "Capital gains tax, supply-driven trading and ownership structure: direct evidence of the lock-in effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 419-439, June.
    417. Omri Even-Tov & Naim Bugra Ozel, 2021. "What moves stock prices around credit rating changes?," Review of Accounting Studies, Springer, vol. 26(4), pages 1390-1427, December.
    418. Richard Holowczak & Yusif Simaan & Liuren Wu, 2006. "Price discovery in the U.S. stock and stock options markets: A portfolio approach," Review of Derivatives Research, Springer, vol. 9(1), pages 37-65, January.
    419. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
    420. Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2009. "Dynamics in systematic liquidity," Working Papers 2009-025, Federal Reserve Bank of St. Louis.
    421. Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel, 2004. "Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 107-128, January.
    422. Chordia, Tarun & Miao, Bin, 2020. "Market efficiency in real time: Evidence from low latency activity around earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    423. Nimalendran, Mahendrarajah & Ray, Sugata, 2014. "Informational linkages between dark and lit trading venues," Journal of Financial Markets, Elsevier, vol. 17(C), pages 230-261.
    424. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
    425. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    426. Antonio Guarino & Marco Cipriani, 2010. "Estimating a Structural Model of Herd Behavior in Financial Markets," IMF Working Papers 2010/288, International Monetary Fund.
    427. Tanggaard, Carsten, 2003. "Errors in Trade Classification: Consequences and Remedies," Finance Working Papers 03-6, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    428. Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011. "Time and the price impact of a trade: A structural approach," CFS Working Paper Series 2011/08, Center for Financial Studies (CFS).
    429. Simon Hagemann & Christoph Weber, 2013. "An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity," EWL Working Papers 1317, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2013.
    430. Krigman, Laurie & Shaw, Wayne H. & Womack, Kent L., 2001. "Why do firms switch underwriters?," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 245-284, May.
    431. Yi‐Wei Chuang & Wei‐Che Tsai & Ming‐Hung Wu, 2020. "The impact of net buying pressure on VIX option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 209-227, February.
    432. Del Brio, Esther B. & Miguel, Alberto & Perote, Javier, 2002. "An investigation of insider trading profits in the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 73-94.
    433. Levi, Shai & Zhang, Xiao-Jun, 2015. "Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium," Journal of Financial Economics, Elsevier, vol. 118(2), pages 383-398.
    434. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    435. Monaco, Eleonora & Ibikunle, Gbenga & Palumbo, Riccardo & Zhang, Zeyu, 2022. "The liquidity and trading activity effects of acquisition payment methods: Evidence from the announcements of private firms' acquisitions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    436. David M. Reeb & Yuzhao Zhang & Wanli Zhao, 2014. "Insider Trading in Supervised Industries," Journal of Law and Economics, University of Chicago Press, vol. 57(3), pages 529-559.
    437. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "The dark side of IPOs: Examining where and who trades in the IPO secondary market," Financial Management, Financial Management Association International, vol. 51(4), pages 1091-1126, December.
    438. Comerton-Forde, Carole & Jones, Charles M. & Putniņš, Tālis J., 2016. "Shorting at close range: A tale of two types," Journal of Financial Economics, Elsevier, vol. 121(3), pages 546-568.
    439. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    440. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc.
    441. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    442. Kee H. Chung & Chairat Chuwonganant & Youngsoo Kim, 2022. "Preopening price indications and market quality: Evidence from NYSE Rule 48," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 205-228, June.
    443. David Michayluk & Karyn Neuhauser, 2008. "Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 159-178, September.
    444. Olav Syrstad & Ganesh Viswanath-Natraj, 2020. "Price-setting in the foreign exchange swap market: Evidence from order flow," Working Paper 2020/16, Norges Bank.
    445. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
    446. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
    447. Oehler, Andreas & Häcker, Mirko, 2003. "Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt," Discussion Papers 20, University of Bamberg, Chair of Finance.
    448. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    449. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
    450. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
    451. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 805-835.
    452. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
    453. Theobald, Michael & Yallup, Peter, 2004. "Determining security speed of adjustment coefficients," Journal of Financial Markets, Elsevier, vol. 7(1), pages 75-96, January.
    454. Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim, 2020. "Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 164-191, February.
    455. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    456. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
    457. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 623-640, August.
    458. Chaker, Selma, 2017. "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, vol. 201(1), pages 127-143.
    459. Chelley-Steeley, Patricia L. & Lambertides, Neophytos, 2022. "Trading activity around chapter 11 filing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    460. Lee, Albert J. & Chung, Kee H., 2022. "Hidden liquidity, market quality, and order submission strategies," Journal of Financial Markets, Elsevier, vol. 61(C).
    461. Bian, Jiangze & Chan, Kalok & Fong, Wai-Ming, 2020. "Investor participation and the volatility-volume relation: Evidence from an emerging market," Emerging Markets Review, Elsevier, vol. 45(C).
    462. Han-Ching Huang & Yong-Chern Su & Sheng-Jung Wu, 2015. "Bank Stock And Option Transmissions In Financial Crisis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(5), pages 17-23.
    463. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
    464. Quentin C. Chu & Mustafa Mesut Kayali, 2006. "Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
    465. Turkington, Joshua & Walsh, David, 2000. "Informed traders and their market preference: Empirical evidence from prices and volumes of options and stock," Pacific-Basin Finance Journal, Elsevier, vol. 8(5), pages 559-585, October.
    466. Peress, Joël & Schmidt, Daniel, 2017. "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers 12434, C.E.P.R. Discussion Papers.
    467. Vdovychenko, Artem, 2012. "Динамика Ликвидности На Рынке Первичных Публичных Размещений [Liquidity dynamics on initial public offerings market]," MPRA Paper 69428, University Library of Munich, Germany.
    468. Xin Zhao & Kee H. Chung, 2006. "Decimal Pricing and Information‐Based Trading: Tick Size and Informational Efficiency of Asset Price," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 753-766, June.
    469. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
    470. Avanidhar Subrahmanyam, 2005. "Distinguishing Between Rationales for Short‐Horizon Predictability of Stock Returns," The Financial Review, Eastern Finance Association, vol. 40(1), pages 11-35, February.
    471. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
    472. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    473. Yu Chuan Huang & Jian‐Hsin Chou, 2007. "Order Imbalance and Its Impact on Market Performance: Order‐driven vs. Quote‐driven Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1596-1614, November.
    474. Chen, Zilin & Guo, Li & Tu, Jun, 2021. "Media connection and return comovement," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    475. William B. Elliott & Bonnie F. Van Ness & Mark D. Walker & Richard S. Warr, 2006. "What Drives the S&P 500 Inclusion Effect? An Analytical Survey," Financial Management, Financial Management Association International, vol. 35(4), pages 31-48, December.
    476. Booth, G. Geoffrey & Gurun, Umit G., 2008. "Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 131-144, January.
    477. Zhu, Hongbing & Yang, Lihua & Xu, Changxin, 2023. "Tracking investor gambling intensity," International Review of Financial Analysis, Elsevier, vol. 86(C).
    478. Ahn, Hee-Joon & Cao, Charles & Choe, Hyuk, 2001. "Share repurchase tender offers and bid-ask spreads," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 445-478, March.
    479. Ding, Mingfa & Suardi, Sandy, 2019. "Government ownership and stock liquidity: Evidence from China," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    480. Aktas, Nihat & de Bodt, Eric & Van Oppens, Hervé, 2008. "Legal insider trading and market efficiency," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1379-1392, July.
    481. Ventura, André & Garcia, Marcio Gomes Pinto, 2012. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(1), March.
    482. Huh, Sahn-Wook & Lin, Hao & Mello, Antonio S., 2015. "Options market makers׳ hedging and informed trading: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 23(C), pages 26-58.
    483. Jin Fang & Jiacheng Weng & Yi Xiang & Xinwen Zhang, 2022. "Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO," Papers 2206.10736, arXiv.org.
    484. Han-Ching Huang & Yong-Chern Su & Chun-E Shih, 2015. "Evidence On The Speed Of Convergence To Market Efficiency: Evidence From Stock Spin-Offs," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 9(2), pages 1-8.
    485. Chung, Dennis Y. & Hrazdil, Karel & Novak, Jiri & Suwanyangyuan, Nattavut, 2019. "Does the large amount of information in corporate disclosures hinder or enhance price discovery in the capital market?," Journal of Contemporary Accounting and Economics, Elsevier, vol. 15(1), pages 36-52.
    486. Kee H. Chung & Choonsik Lee & Carl Hsin‐han Shen, 2020. "Passive blockholders, informational efficiency of prices, and firm value," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 494-512, July.
    487. Barber, Brad M. & Odean, Terrance & Zhu, Ning, 2009. "Systematic noise," Journal of Financial Markets, Elsevier, vol. 12(4), pages 547-569, November.
    488. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
    489. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney.
    490. Mooradian, Robert M., 2010. "Illiquidity and Stock Returns," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 6(1-2), pages 1-19, April.
    491. Marshall A. Geiger & Bret Johnson & Keith L. Jones & Abdullah Kumas, 2022. "Information Leakage Around SEC Comment Letters," Management Science, INFORMS, vol. 68(11), pages 8449-8463, November.
    492. Ding, Mingfa & He, Zhongda & Jia, Yuecheng & Shen, Mi, 2021. "State ownership, implicit government guarantees, and crash risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    493. Zebedee, Allan A., 2001. "The impact of a trade on national best bid and offer quotes: a new approach to modeling irregularly spaced data," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 363-383, December.
    494. Gustavo Silva Araújo & Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente, 2011. "The Adverse Selection Cost Component of the Spread of Brazilian Stocks," Working Papers Series 263, Central Bank of Brazil, Research Department.
    495. Chung, Dennis Y. & Hrazdil, Karel, 2010. "Liquidity and market efficiency: Analysis of NASDAQ firms," Global Finance Journal, Elsevier, vol. 21(3), pages 262-274.
    496. Dixon, Peter N. & Fox, Corbin A. & Kelley, Eric K., 2021. "To own or not to own: Stock loans around dividend payments," Journal of Financial Economics, Elsevier, vol. 140(2), pages 539-559.
    497. Zebedee, Allan A. & Kasch-Haroutounian, Maria, 2009. "A closer look at co-movements among stock returns," Journal of Economics and Business, Elsevier, vol. 61(4), pages 279-294, July.
    498. Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022. "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 34-52, February.
    499. Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
    500. Wang, Steven Shuye & Xu, Kuan & Zhang, Hao, 2019. "A microstructure study of circuit breakers in the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    501. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    502. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
    503. Duarte, Jefferson & Young, Lance, 2009. "Why is PIN priced?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 119-138, February.
    504. Lee, Bong Soo & Li, Wei & Wang, Steven Shuye, 2010. "The dynamics of individual and institutional trading on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 116-137, January.
    505. Nikbakht, Ehsan & Shahrokhi, Manuchehr, 2006. "An extension of price improvement debate: The case of American Depository Receipts (ADRs)," Global Finance Journal, Elsevier, vol. 16(3), pages 317-329, March.
    506. Chen, Zhiyu & Xu, Yun & Wang, Yu, 2023. "Can convertible bond trading predict stock returns? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    507. Dimitri Vayanos & Jiang Wang, 2012. "Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition," FMG Discussion Papers dp708, Financial Markets Group.
    508. Alasdair Brown & Fuyu Yang, 2021. "Framing effects and the market selection hypothesis: Evidence from real‐world isomorphic bets," Southern Economic Journal, John Wiley & Sons, vol. 88(1), pages 399-413, July.
    509. Ben Sita, Bernard & Westerholm, P. Joakim, 2011. "The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 306-310.
    510. Wenbin Tang & Hoang Nguyen & Van Nguyen, 2013. "The effects of listing changes between NASDAQ market segments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 584-605, October.
    511. David Abad & Mikel Tapia, 2003. "Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro," Working Papers. Serie EC 2003-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    512. Raymond Brooks & Jean Masson, 1996. "PERFORMANCE OF STOLL's SPREAD COMPONENT ESTIMATOR: EVIDENCE FROM SIMULATIONS, TIME-SERIES, AND CROSS-SECTIONAL DATA," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 459-476, December.
    513. Schultz, Paul & Shive, Sophie, 2010. "Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading," Journal of Financial Economics, Elsevier, vol. 98(3), pages 524-549, December.
    514. Ibikunle, Gbenga & Aquilina, Matteo & Diaz-Rainey, Ivan & Sun, Yuxin, 2021. "City goes dark: Dark trading and adverse selection in aggregate markets," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 1-22.
    515. Griffith, Todd & Roseman, Brian & Shang, Danjue, 2020. "The effects of an increase in equity tick size on stock and option transaction costs," Journal of Banking & Finance, Elsevier, vol. 114(C).
    516. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.
    517. Brooks, Raymond M. & Patel, Ajay, 2000. "Information conveyed by seasoned security offerings: evidence from components of the bid-ask spread," Review of Financial Economics, Elsevier, vol. 9(2), pages 83-99, December.
    518. Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    519. Jiraporn, Pornsit & Chintrakarn, Pandej & Kim, Young S., 2012. "Analyst following, staggered boards, and managerial entrenchment," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3091-3100.
    520. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    521. Duc Hong Vo & Bao Doan, 2021. "Effects from containment and closure policies to market quality: Do they really matter in Vietnam during Covid-19?," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-16, April.
    522. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2009. "Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(9‐10), pages 1273-1293, November.
    523. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
    524. Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
    525. Chiu, Junmao & Tsai, Kunchi, 2017. "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 128-142.
    526. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
    527. Diego Cueto & Lorne Switzer, 2015. "Intraday market liquidity, corporate governance, and ownership structure in markets with weak shareholder protection: evidence from Brazil and Chile," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 19(2), pages 395-419, May.
    528. Lipson, Marc L. & Mortal, Sandra, 2006. "The effect of stock splits on clientele: Is tick size relevant?," Journal of Corporate Finance, Elsevier, vol. 12(5), pages 878-896, December.
    529. Benston, George J. & Wood, Robert A., 2008. "Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 17-40, January.
    530. Choy, Siu Kai & Wei, Jason, 2012. "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2299-2322.
    531. Chan, Yue-Cheong, 2000. "The price impact of trading on the stock exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 3(1), pages 1-16, February.
    532. Cosmin Octavian Cepoi & Filip Mihai Toma, 2016. "Estimating Probability of Informed Trading on the Bucharest Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 140-160, April.
    533. Bradley, Daniel J. & Gonas, John S. & Highfield, Michael J. & Roskelley, Kenneth D., 2009. "An examination of IPO secondary market returns," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 316-330, June.
    534. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 159-188.
    535. Miao Luo & Tao Chen & Isabel Yan, 2014. "Price informativeness and institutional ownership: evidence from Japan," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 627-651, May.
    536. Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu, 2020. "Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1665-1690, November.
    537. GIOT, Pierre, 1999. "Time transformations, intraday data and volatility models," LIDAM Discussion Papers CORE 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    538. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012. "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers 1012, Purdue University, Department of Consumer Sciences.
    539. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
    540. He, Yan & Wang, Junbo & John Wei, K.C., 2014. "A comprehensive study of liquidity before and after SEOs and SEO underpricing," Journal of Financial Markets, Elsevier, vol. 20(C), pages 61-78.
    541. Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008. "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, vol. 63(1), pages 159-196, February.
    542. Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy, 2009. "The magnet effect of price limits: A logit approach," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 830-837, December.
    543. Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-25.
    544. Lee, Kuan-Hui & Wang, Shu-Feng, 2016. "Short-selling with a short wait: Trade- and account-level analyses in Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 209-222.
    545. Jianfeng Hu, 2020. "Is the synthetic stock price really lower than actual price?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1809-1824, December.
    546. Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," Research Department Publications 3207, Inter-American Development Bank, Research Department.
    547. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.
    548. Snell, Andy & Tonks, Ian, 1996. "Using time series methods to assess information and inventory effects in a dealer market in Il-liquid stocks," LSE Research Online Documents on Economics 119167, London School of Economics and Political Science, LSE Library.
    549. Harvey, M. & Hendricks, D. & Gebbie, T. & Wilcox, D., 2017. "Deviations in expected price impact for small transaction volumes under fee restructuring," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 416-426.
    550. Jerry Parwada & Yixuan Rui & Jianfeng Shen, 2022. "Financial transaction tax and market quality: Evidence from France†," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 90-113, March.
    551. Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015. "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 263-275.
    552. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    553. Valeria Martinez & Yiuman Tse & Jullavut Kittiakarasakun, 2013. "Volatility, trade size, and order imbalance in China and Japan exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 293-307, April.
    554. Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek, 2018. "Hedge Fund Holdings and Stock Market Efficiency," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 77-116.
    555. Greg MacKinnon & Howard Nemiroff, 1999. "Liquidity And Tick Size: Does Decimalization Matter?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(3), pages 287-299, September.
    556. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
    557. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
    558. Chung, Kee H. & Charoenwong, Charlie & Ding, David K., 2004. "Penny pricing and the components of spread and depth changes," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2981-3007, December.
    559. Wu, Chunchi, 2004. "Information flow, volatility and spreads of infrequently traded Nasdaq stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 20-43, February.
    560. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
    561. Sensoy, Ahmet & Omole, John, 2022. "Information content of order imbalance in the index options market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 418-432.
    562. Han-Ching Huang & Yong-Chern Su & Yao-Hsuan Chang, 2014. "Dynamic Return-Order Imbalance Relationship Response To Leveraged Buyout Announcements," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(2), pages 55-63.
    563. Krishnamurti, Chandrasekhar & Sequeira, John M. & Fangjian, Fu, 2003. "Stock exchange governance and market quality," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1859-1878, September.
    564. Lilian de Menezes & Marianna Russo & Giovanni Urga, 2016. "Identifying Drivers of Liquidity in the NBP Month-ahead Market," EcoMod2016 9570, EcoMod.
    565. Cheng, Feiyang & Wang, Chunfeng & Chiao, Chaoshin & Yao, Shouyu & Fang, Zhenming, 2021. "Retail attention, retail trades, and stock price crash risk," Emerging Markets Review, Elsevier, vol. 49(C).
    566. Hansson, Fredrik & Rüdow Fors, Erik, 2009. "Get Shorty? - Market Impact of the 2008-09 U.K. Short Selling Ban," Working Papers in Economics 365, University of Gothenburg, Department of Economics.
    567. Lawrence Kryzanowski & Skander Lazrak & Ian Rakita, 2005. "The Behavior of Prices, Trades and Spreads for Canadian IPO’s," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 215-236, September.
    568. Joseph K.W. Fung & Eric Girardin & Jian Hua, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Post-Print hal-03821210, HAL.
    569. Robert E. Verrecchia & Joseph Weber, 2006. "Redacted Disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 44(4), pages 791-814, September.
    570. Arnab Bhattacharya & Binay Bhushan Chakrabarti, 2014. "An Examination of Adverse Selection Risk in Indian IPO After-Markets using High Frequency Data," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(3), pages 01-49.
    571. Lu, Zhongjin & Malliaris, Steven & Qin, Zhongling, 2023. "Heterogeneous liquidity providers and night-minus-day return predictability," Journal of Financial Economics, Elsevier, vol. 148(3), pages 175-200.
    572. Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016. "Location and excess comovement," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 293-308.
    573. Rahul Ravi, 2015. "Is there Asymmetric Information About Systematic Factors? Evidence from Commonality in Liquidity," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(2), pages 93-104.
    574. Chordia, Tarun & Subrahmanyam, Avanidhar, 2000. "Order Imbalance and Individual Stock Returns," University of California at Los Angeles, Anderson Graduate School of Management qt34k8f3pv, Anderson Graduate School of Management, UCLA.
    575. Ulrike Malmendier & Devin Shanthikumar, 2007. "Do Security Analysts Speak in Two Tongues?," NBER Working Papers 13124, National Bureau of Economic Research, Inc.
    576. Alex Frino, 2021. "Off‐market block trades: New evidence on transparency and information efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 478-492, April.
    577. Bartley R. Danielsen & Robert A. Van Ness & Richard S. Warr, 2007. "Auditor Fees, Market Microstructure, and Firm Transparency," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 202-221, January.
    578. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(2), pages 105-126, August.
    579. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
    580. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
    581. Asçioglu, Asli & Holowczak, Richard & Louton, David & Saraoglu, Hakan, 2017. "The evolution of market share among the U.S. options market platforms," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 196-214.
    582. Gregoriou, Andros & Gupta, Jairaj & Healy, Jerome, 2016. "Does Islamic banking increase the liquidity of stocks? An application to the Kingdom of Bahrain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 132-138.
    583. Favreau, Charles & Garvey, Ryan, 2022. "Non-positive spreads and trading venue halts: Are investors harmed?," Finance Research Letters, Elsevier, vol. 46(PA).
    584. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
    585. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    586. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
    587. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
    588. Sim, Min Kyu & Deng, Shijie, 2020. "Estimation of level-I hidden liquidity using the dynamics of limit order-book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    589. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    590. Corwin, Shane A. & Lipson, Marc L., 2011. "Order characteristics and the sources of commonality in prices and liquidity," Journal of Financial Markets, Elsevier, vol. 14(1), pages 47-81, February.
    591. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    592. Jose Gutierrez & Yiuman Tse, 2009. "NYSE execution quality subsequent to migration to hybrid," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 59-81, July.
    593. Craig W. Holden & Stacey Jacobsen, 2014. "Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions," Journal of Finance, American Finance Association, vol. 69(4), pages 1747-1785, August.
    594. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 527-532, November.
    595. Duarte-Silva, Tiago, 2010. "The market for certification by external parties: Evidence from underwriting and banking relationships," Journal of Financial Economics, Elsevier, vol. 98(3), pages 568-582, December.
    596. Alasdair Brown & Fuyu Yang, 2015. "Salience and the Disposition Effect: Evidence from the Introduction of `Cash-Outs' in Betting Markets," University of East Anglia Applied and Financial Economics Working Paper Series 071, School of Economics, University of East Anglia, Norwich, UK..
    597. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
    598. Kedia, Simi & Zhou, Xing, 2011. "Local market makers, liquidity and market quality," Journal of Financial Markets, Elsevier, vol. 14(4), pages 540-567, November.
    599. Kee Chung & Jangkoo Kang & Joon-Seok Kim, 2011. "Tick size, market structure, and market quality," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 57-81, January.
    600. Chen, Tao, 2019. "Trade-size clustering and price efficiency," Japan and the World Economy, Elsevier, vol. 49(C), pages 195-203.
    601. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    602. Doojin Ryu, 2013. "Spread and depth adjustment process: an analysis of high-quality microstructure data," Applied Economics Letters, Taylor & Francis Journals, vol. 20(16), pages 1506-1510, November.
    603. Fang, Vivian W. & Noe, Thomas H. & Tice, Sheri, 2009. "Stock market liquidity and firm value," Journal of Financial Economics, Elsevier, vol. 94(1), pages 150-169, October.
    604. Chen Gu & Xu Guo & Alexander Kurov & Raluca Stan, 2022. "The information content of the volatility index options trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1721-1737, September.
    605. Alexandru Todea & Andrei Rusu, 2014. "Liquidity, information and market efficiency: an intraday approach on a frontier stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2303-2307.
    606. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144, January.
    607. Jiang, Christine & McInish, Thomas & Upson, James, 2009. "The information content of trading halts," Journal of Financial Markets, Elsevier, vol. 12(4), pages 703-726, November.
    608. Grammig, Joachim & Schiereck, Dirk & Theissen, Erik, 2001. "Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets," Journal of Financial Markets, Elsevier, vol. 4(4), pages 385-412, October.
    609. Dierkes, Maik & Krupski, Jan & Schroen, Sebastian, 2022. "Option-implied lottery demand and IPO returns," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    610. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
    611. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
    612. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 291-310, June.
    613. Ai Jun Hou & Lars L. Nordén, 2018. "VIX futures calendar spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 822-838, July.
    614. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    615. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
    616. Alex Frino & Ognjen Kovačević & Vito Mollica, 2019. "Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 590-599, May.
    617. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
    618. Bhatti, Chad R., 2009. "Intraday trade and quote dynamics: A Cox regression analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2240-2249.
    619. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
    620. Emily Lin & Chu-Lan Michael Kao & Natasha Sonia Adityarini, 2021. "Data-driven tree structure for PIN models," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 411-427, August.
    621. Tripathi, Abhinava & Dixit, Alok & Vipul,, 2021. "Information content of order imbalance in an order-driven market: Indian Evidence," Finance Research Letters, Elsevier, vol. 41(C).
    622. Johannes Prix & Otto Loistl & Michael Huetl, 2007. "Algorithmic Trading Patterns in Xetra Orders," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 717-739.
    623. Lisa Anderson & Emad Andrews & Baiju Devani & Michael Mueller & Adrian Walton, 2018. "Speed Segmentation on Exchanges: Competition for Slow Flow," Staff Working Papers 18-3, Bank of Canada.
    624. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
    625. George F. Tannous & Ying Zhang, 2008. "Cross‐listing and Trading on the Domestic Market: Evidence from Canada–US Partial Holidays," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9‐10), pages 1245-1275, November.
    626. Sankaraguruswamy, Srinivasan & Shen, Jianfeng & Yamada, Takeshi, 2013. "The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4134-4143.
    627. A. Can Inci & Biao Lu & H. Nejat Seyhun, 2010. "Intraday Behavior of Stock Prices and Trades around Insider Trading," Financial Management, Financial Management Association International, vol. 39(1), pages 323-363, March.
    628. Mingfa Ding & Birger Nilsson & Sandy Suardi, 2017. "Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions," The Financial Review, Eastern Finance Association, vol. 52(1), pages 101-144, February.
    629. Li, Mingsheng & Liu, Desheng & Peng, Hongfeng & Zhang, Luxiu, 2020. "Does low synchronicity mean more or less informative prices? Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 51(C).
    630. Gehrig, Thomas & Fohlin, Caroline & Haas, Marlene, 2015. "Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907," CEPR Discussion Papers 10497, C.E.P.R. Discussion Papers.
    631. Steve Fan, 2013. "Corporate Governance and Information Content of Stock Trades: Evidence from S&P 100 Companies," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(3), pages 41-56.
    632. Warren Bailey & Lin Zheng, 2013. "Banks, Bears, and the Financial Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 1-51, August.
    633. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    634. Liu, Tingting & Wu, Juan (Julie), 2014. "Merger arbitrage short selling and price pressure," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 36-54.
    635. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, University of Reading.
    636. Battalio, Robert H. & Mendenhall, Richard R., 2005. "Earnings expectations, investor trade size, and anomalous returns around earnings announcements," Journal of Financial Economics, Elsevier, vol. 77(2), pages 289-319, August.
    637. Odders-White, Elizabeth R., 2000. "On the occurrence and consequences of inaccurate trade classification," Journal of Financial Markets, Elsevier, vol. 3(3), pages 259-286, August.
    638. Abad, David & Pascual, Roberto, 2015. "The friction-free weighted price contribution," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 226-239.
    639. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    640. Manoj Kulchania, 2013. "Market Micrsotructure Changes Around Accelerated Share Repurchase Announcements," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(1), pages 91-114, January.
    641. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
    642. 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.
    643. Joshua Huang & Teresa Serra & Philip Garcia, 2021. "The Value of USDA Announcements in the Electronically Traded Corn Futures Market: A Modified Sufficient Test with Risk Adjustments," Journal of Agricultural Economics, Wiley Blackwell, vol. 72(3), pages 712-734, September.
    644. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    645. Escribano, Álvaro & Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de Economía.
    646. Xu, Liao & Gao, Han & Shi, Yukun & Zhao, Yang, 2020. "The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 400-408.
    647. Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008. "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers E2008/12, Cardiff University, Cardiff Business School, Economics Section.
    648. Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017. "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, vol. 21(4), pages 1355-1401.
    649. Joanna Olbrys, 2019. "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(2), pages 251-275, June.
    650. Smales, Lee A., 2014. "Non-scheduled news arrival and high-frequency stock market dynamics," Research in International Business and Finance, Elsevier, vol. 32(C), pages 122-138.
    651. Philipp Weber & Bernd Rosenow, 2006. "Large stock price changes: volume or liquidity?," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 7-14.
    652. Blazejewski, Adam & Coggins, Richard, 2005. "A local non-parametric model for trade sign inference," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 481-495.
    653. Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
    654. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
    655. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    656. Hussain, Syed Mujahid & Ahmad, Nisar & Ahmed, Sheraz, 2023. "Applications of high-frequency data in finance: A bibliometric literature review," International Review of Financial Analysis, Elsevier, vol. 89(C).
    657. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    658. Karl Ludwig Keiber, 2005. "The Informational Content of Transactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 47-60, June.
    659. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
    660. Chung, Dennis Y. & Hrazdil, Karel & Trottier, Kim, 2015. "On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 153-167.
    661. Anand, Amber & Irvine, Paul & Puckett, Andy & Venkataraman, Kumar, 2013. "Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 108(3), pages 773-797.
    662. Alex Frino & Riccardo Palumbo & Pierangelo Rosati, 2023. "Does information asymmetry predict audit fees?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2597-2619, June.
    663. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2009. "Adverse selection costs for NASDAQ and NYSE after decimalization," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 205-211, September.
    664. Perotti, Pietro & Rindi, Barbara, 2010. "Market makers as information providers: The natural experiment of STAR," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 895-917, December.
    665. Jørgensen, Kjell & Valseth, Siri, 2010. "A market microstructure approach to cross-market spillovers," UiS Working Papers in Economics and Finance 2010/11, University of Stavanger.
    666. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
    667. Shroff, Nemit & Verdi, Rodrigo S. & Yost, Benjamin P., 2017. "When does the peer information environment matter?," Journal of Accounting and Economics, Elsevier, vol. 64(2), pages 183-214.
    668. Pascal Busch & Stefan Obernberger, 2017. "Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 324-362.
    669. Pronk, M., 2002. "Market liquidity around earnings announcements," Other publications TiSEM 3e22cd8d-f7eb-4c28-9275-8, Tilburg University, School of Economics and Management.
    670. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
    671. Marc J. M. Bohmann & Vinay Patel, 2022. "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1211-1236, July.
    672. Suardi, Sandy & Xu, Caihong & Zhou, Z. Ivy, 2022. "COVID-19 pandemic and liquidity commonality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    673. Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020. "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 138(3), pages 789-817.
    674. Aritra Pan & Arun Kumar Misra & David McMillan, 2021. "A comprehensive study on bid-ask spread and its determinants in India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1898735-189, January.
    675. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    676. Yiuman Tse, 2000. "Further Examination Of Price Discovery On The Nyse And Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-351, September.
    677. Khaladdin Rzayev & Gbenga Ibikunle, 2021. "Order aggressiveness and flash crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2647-2673, April.
    678. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
    679. Drummond, Philip A., 2023. "Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup," Journal of Financial Markets, Elsevier, vol. 63(C).
    680. Wang, Anxing & Zhou, Jimei & Chen, Tao, 2011. "Which institutions matter to short-term market efficiency in Japan?," Research in Economics, Elsevier, vol. 65(3), pages 164-179, September.
    681. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
    682. Dion Bongaerts & Richard Roll & Dominik Rösch & Mathijs van Dijk & Darya Yuferova, 2022. "How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective," Management Science, INFORMS, vol. 68(4), pages 3071-3089, April.
    683. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    684. Będowska-Sójka, Barbara, 2020. "Do aggressive orders affect liquidity? An evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 54(C).
    685. Feng, Wenjun & Wang, Yiming & Zhang, Zhengjun, 2018. "Informed trading in the Bitcoin market," Finance Research Letters, Elsevier, vol. 26(C), pages 63-70.
    686. Flannery, Mark J., 1998. "Comment on Benveniste, Erdal and Wilhelm, Jr," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 768-772, August.
    687. Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
    688. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017. "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Papers 1709.08238, arXiv.org, revised Jan 2021.
    689. Joel Peress & Daniel Schmidt, 2020. "Glued to the TV: Distracted Noise Traders and Stock Market Liquidity," Journal of Finance, American Finance Association, vol. 75(2), pages 1083-1133, April.
    690. Haoxiang Zhu & Bart Yueshen & Albert Menkveld, 2015. "Shades of Darkness: A Pecking Order of Trading Venues," 2015 Meeting Papers 1164, Society for Economic Dynamics.
    691. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, University Library of Munich, Germany.
    692. William Lin, Hsiou-Wei & Ke, Wen-Chyan, 2011. "A computing bias in estimating the probability of informed trading," Journal of Financial Markets, Elsevier, vol. 14(4), pages 625-640, November.
    693. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
    694. Utpal Bhattacharya & Craig W. Holden & Stacey Jacobsen, 2012. "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, INFORMS, vol. 58(2), pages 413-431, February.
    695. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 656-678, September.
    696. Liao Zhu & Ningning Sun & Martin T. Wells, 2021. "Clustering Structure of Microstructure Measures," Papers 2107.02283, arXiv.org, revised Dec 2021.
    697. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
    698. Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2012. "Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market," Emerging Markets Review, Elsevier, vol. 13(2), pages 202-209.
    699. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
    700. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
    701. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
    702. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
    703. Berkman, Henk & Nguyen, Nhut H., 2010. "Domestic liquidity and cross-listing in the United States," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1139-1151, June.
    704. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    705. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.
    706. John Y. Campbell & Tarun Ramadorai & Tuomo O. Vuolteenaho, 2005. "Caught On Tape: Institutional Order Flow and Stock Returns," Harvard Institute of Economic Research Working Papers 2080, Harvard - Institute of Economic Research.
    707. Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
    708. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.
    709. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013. "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3181-3191.
    710. Thomas Wu & Jordi Mondria, 2011. "Asymmetric Attention and Stock Returns," 2011 Meeting Papers 134, Society for Economic Dynamics.
    711. Nguyen, Vanthuan & Phengpis, Chanwit, 2009. "An analysis of the opening mechanisms of Exchange Traded Fund markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 562-577, May.
    712. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
    713. Jiang, George J. & Shimizu, Yoshiki & Strong, Cuyler, 2022. "Back to the futures: When short selling is banned," Journal of Financial Markets, Elsevier, vol. 61(C).
    714. Christopher L. Gilbert & Herbert A. Rijken, 2006. "How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the LIFFE FTSE 100 Contract," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1267-1297, September.
    715. Tarek Bouchaddekh & Abdelfatteh Bouri & Makram Nouaili, 2015. "Asset Pricing and Probability of Information-based Trading: Application to the Tunisian Stock Market," Oblik i finansi, Institute of Accounting and Finance, issue 1, pages 58-65, March.
    716. Kentaro Iwatsubo & Tomoki Taishi, 2016. "Quantitative Easing and Liquidity in the Japanese Government Bond Market," Discussion Papers 1623, Graduate School of Economics, Kobe University.
    717. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
    718. O’Donoghue, Shawn M., 2022. "Transaction fees: Impact on institutional order types, commissions, and execution quality," Journal of Financial Markets, Elsevier, vol. 60(C).
    719. Będowska-Sójka, Barbara & Echaust, Krzysztof, 2020. "What is the best proxy for liquidity in the presence of extreme illiquidity?," Emerging Markets Review, Elsevier, vol. 43(C).
    720. Wu, Ying, 2019. "Asset pricing with extreme liquidity risk," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 143-165.
    721. Diego A. Agudelo & Ignacio Arango, 2017. "How does information disclosure affect liquidity? Evidence from an Emerging Market," Documentos de Trabajo de Valor Público 16944, Universidad EAFIT.
    722. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
    723. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
    724. Zhiwu Chen & Werner Stanzl & Masahiro Watanabe, 2002. "Price Impact Costs and the Limit of Arbitrage," Yale School of Management Working Papers ysm251, Yale School of Management, revised 08 Jun 2006.
    725. Liyun Zhou & Chunpeng Yang, 2019. "Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 859-890, December.
    726. Ellul, Andrew, 2006. "Ripples through markets: Inter-market impacts generated by large trades," Journal of Financial Economics, Elsevier, vol. 82(1), pages 173-196, October.
    727. Kaul, Aditya & Kayacetin, Nuri Volkan, 2017. "Flight-to-quality, economic fundamentals, and stock returns," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 162-175.
    728. Andrija Mihoci & Christopher Hian-Ann Ting & Meng-Jou Lu & Kainat Khowaja, 2022. "Adaptive order flow forecasting with multiplicative error models," Digital Finance, Springer, vol. 4(1), pages 89-108, March.
    729. Shyu, Hawfeng & Gao, Feng & Wu, Peng & Zhu, Song, 2020. "Earnings dispersion in the spotlight: The effects of media coverage on stock liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    730. Jiang, Li & Li, Gao, 2013. "Investor sentiment and IPO pricing during pre-market and aftermarket periods: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 65-82.
    731. Zhang, Sijia & Gregoriou, Andros, 2021. "The impact of order flow on event study returns: New evidence from zero-leverage firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 627-634.
    732. Gbenga Ibikunle & Davide Mare & Yuxin Sun, 2020. "The paradoxical effects of market fragmentation on adverse selection risk and market efficiency," The European Journal of Finance, Taylor & Francis Journals, vol. 26(14), pages 1439-1461, September.
    733. Kjell G. Nyborg & Zexi Wang, 2019. "The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive," Swiss Finance Institute Research Paper Series 19-30, Swiss Finance Institute, revised Dec 2020.
    734. Furfine, Craig, 2007. "When is inter-transaction time informative?," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 310-332, June.
    735. Sojung Carol Park & Jean Lemaire & Xiaoying Xie, 2016. "The Opaqueness of Structured Bonds: Evidence from the U.S. Insurance Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 41(4), pages 650-676, October.
    736. Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2023. "Order book price impact in the Chinese soybean futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 606-625, January.
    737. Benhami, Kheira & Bisière, Christophe, 2005. "Does Order Flow Fragmentation Impact Market Quality? The Case of Nasdaq SuperMontage," IDEI Working Papers 470, Institut d'Économie Industrielle (IDEI), Toulouse.
    738. Erik J. Mayer, 2021. "Advertising, investor attention, and stock prices: Evidence from a natural experiment," Financial Management, Financial Management Association International, vol. 50(1), pages 281-314, March.
    739. Kim, Sangwan & Lim, Steve C., 2017. "Earnings comparability and informed trading," Finance Research Letters, Elsevier, vol. 20(C), pages 130-136.
    740. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    741. Yang, Chunpeng & Zhou, Liyun, 2015. "Investor trading behavior, investor sentiment and asset prices," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 42-62.
    742. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
    743. Coppejans, Mark & Domowitz, Ian, 1999. "Pricing behavior in an off-hours computerized market," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 583-607, December.
    744. Duarte, Jefferson & Han, Xi & Harford, Jarrad & Young, Lance, 2008. "Information asymmetry, information dissemination and the effect of regulation FD on the cost of capital," Journal of Financial Economics, Elsevier, vol. 87(1), pages 24-44, January.
    745. Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
    746. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
    747. Alessia Testa, 2019. "Path-dependent behavior and information leakage in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(4), pages 909-949, June.
    748. Xu, Liao & Zhang, Xuan & Zhao, Jing, 2023. "Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic," Journal of Financial Markets, Elsevier, vol. 62(C).
    749. Hsieh, Wen-liang G. & He, Huei-Ru, 2014. "Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 187-215.
    750. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
    751. Lai, Sandy & Ng, Lilian & Zhang, Bohui, 2014. "Does PIN affect equity prices around the world?," Journal of Financial Economics, Elsevier, vol. 114(1), pages 178-195.
    752. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
    753. Platt, Donovan & Gebbie, Tim, 2018. "Can agent-based models probe market microstructure?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1092-1106.
    754. Chen, Tao, 2021. "Informed trading and earnings announcement driven disagreement in global markets," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 43(C).
    755. Huh, Sahn-Wook, 2014. "Price impact and asset pricing," Journal of Financial Markets, Elsevier, vol. 19(C), pages 1-38.
    756. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," LIDAM Discussion Papers CORE 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    757. Gehrig, Thomas & Haas, Marlene, 2014. "Lehman Brothers: What Did Markets Know?," CEPR Discussion Papers 9893, C.E.P.R. Discussion Papers.
    758. Alexander, Gordon J. & Peterson, Mark A., 2008. "The effect of price tests on trader behavior and market quality: An analysis of Reg SHO," Journal of Financial Markets, Elsevier, vol. 11(1), pages 84-111, February.
    759. U. Çetin & R. Jarrow & P. Protter & M. Warachka, 2006. "Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 19(2), pages 493-529.
    760. Burkart, Mike & Lee, Samuel, 2012. "Smart buyers," LSE Research Online Documents on Economics 119056, London School of Economics and Political Science, LSE Library.
    761. Gus De Franco & Hai Lu & Florin P. Vasvari, 2007. "Wealth Transfer Effects of Analysts' Misleading Behavior," Journal of Accounting Research, Wiley Blackwell, vol. 45(1), pages 71-110, March.
    762. Man Jin & Shunan Zhao & Subal C. Kumbhakar, 2020. "Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 581-605, February.
    763. Zhang, Ting & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Order imbalances and market efficiency: New evidence from the Chinese stock market," Emerging Markets Review, Elsevier, vol. 38(C), pages 458-467.
    764. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2013. "Removing the Trade Size Constraint? Evidence from the Italian Market Design," Working Papers 493, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    765. Gennaro Bernile & Alok Kumar & Johan Sulaeman & Qin Wang, 2019. "Has local informational advantage disappeared?," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 38-60, January.
    766. Kryzanowski, Lawrence & Lazrak, Skander & Rakita, Ian, 2010. "Behavior of liquidity and returns around Canadian seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2954-2967, December.
    767. Comerton-Forde, Carole & Tang, Kar Mei, 2009. "Anonymity, liquidity and fragmentation," Journal of Financial Markets, Elsevier, vol. 12(3), pages 337-367, August.
    768. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
    769. 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 the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
    770. Kissell, Robert & Glantz, Morton & Malamut, Roberto, 2004. "A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution," Finance Research Letters, Elsevier, vol. 1(1), pages 35-46, March.
    771. Tse-Chun Lin & Xin Liu, 2018. "Skewness, Individual Investor Preference, and the Cross-section of Stock Returns [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 22(5), pages 1841-1876.
    772. Frino, Alex & Ibikunle, Gbenga & Mollica, Vito & Steffen, Tom, 2018. "The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 27-43.
    773. Hu, Shing-yang & Lin, Yueh-Hsiang & Lai, Christine W., 2016. "The effect of overvaluation on investment and accruals: The role of information," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 181-201.
    774. Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.
    775. Zhang, Chris H. & Kalev, Petko S., 2021. "How noise trading affects informational efficiency: Evidence from an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    776. Christine Jiang & Jang-Chul Kim & Robert Wood, 2011. "A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1227-1239.
    777. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.
    778. Li, Ting & Zaiats, Nataliya, 2017. "Information environment and earnings management of dual class firms around the world," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 1-23.
    779. Kryzanowski, Lawrence & Zhang, Ying, 2013. "Financial restatements by Canadian firms cross-listed and not cross-listed in the U.S," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 74-96.
    780. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    781. Yinfen Tang & Tao Su & Zhiyuan Zhang, 2022. "Distribution-free specification test for volatility function based on high-frequency data with microstructure noise," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(8), pages 977-1022, November.
    782. Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
    783. Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
    784. Gehrig, Thomas Paul & Fohlin, Caroline & Haas, Marlene, 2015. "Liquidty Freezes and Market Runs; Evidencefrom the Panic of 1907," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113008, Verein für Socialpolitik / German Economic Association.
    785. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
    786. Chan, Choon Chat & Fong, Wai Mun, 2006. "Realized volatility and transactions," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2063-2085, July.
    787. Charlie Charoenwong & David K. Ding & Tiong Yang Thong, 2016. "Decimalization, IPO aftermath, and liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1303-1344, November.
    788. Chung, Dennis Y. & Hrazdil, Karel, 2012. "Speed of convergence to market efficiency: The role of ECNs," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 702-720.
    789. Tong, Wilson H.S. & Zhang, Shaojun & Zhu, Yanjian, 2013. "Trading on inside information: Evidence from the share-structure reform in China," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1422-1436.
    790. 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.
    791. Yves Rannou, 2017. "Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets," Post-Print hal-01650533, HAL.
    792. Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013. "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4973-4988.
    793. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    794. Feng, Xunan & Johansson, Anders C., 2016. "Judging a Book by Its Cover: Analysts and Attention-Driven Price Patterns in China’s IPO Market," Stockholm School of Economics Asia Working Paper Series 2016-39, Stockholm School of Economics, Stockholm China Economic Research Institute.
    795. Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2004. "Conference calls and information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 37(3), pages 343-366, September.
    796. Jacob Thomas & Frank Zhang & Wei Zhu, 2021. "Dark Trading and Post-Earnings-Announcement Drift," Management Science, INFORMS, vol. 67(12), pages 7785-7811, December.
    797. Irtisam, Rasheek & Sokolov, Konstantin, 2023. "Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal," Journal of Banking & Finance, Elsevier, vol. 154(C).
    798. Huang, Shiyang & Liu, Xin & Yin, Chengxi, 2019. "Investor target prices," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 39-57.
    799. Arango, Ignacio & Agudelo, Diego A., 2019. "How does information disclosure affect liquidity? Evidence from an emerging market," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    800. Allee, Kristian D. & Bhattacharya, Nilabhra & Black, Ervin L. & Christensen, Theodore E., 2007. "Pro forma disclosure and investor sophistication: External validation of experimental evidence using archival data," Accounting, Organizations and Society, Elsevier, vol. 32(3), pages 201-222, April.
    801. Miao Li & Tao Xiong & Ziran Li, 2023. "A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 792-806, June.
    802. Georg Dettmann, 2011. "A View on Global Imbalances and their Contribution to the Financial Crisis," Birkbeck Working Papers in Economics and Finance 1102, Birkbeck, Department of Economics, Mathematics & Statistics.
    803. Lachance, Marie-Eve, 2021. "ETFs’ high overnight returns: The early liquidity provider gets the worm," Journal of Financial Markets, Elsevier, vol. 52(C).
    804. Chung, Kee H. & Zhang, Hao, 2014. "A simple approximation of intraday spreads using daily data," Journal of Financial Markets, Elsevier, vol. 17(C), pages 94-120.
    805. Chung, Kee H. & Chuwonganant, Chairat & McCormick, D. Timothy, 2004. "Order preferencing and market quality on NASDAQ before and after decimalization," Journal of Financial Economics, Elsevier, vol. 71(3), pages 581-612, March.
    806. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
    807. Kempf, Alexander & Korn, Olaf, 1998. "Market depth and order size: an analysis of permanent price effects of DAX futures' trades," ZEW Discussion Papers 98-10, ZEW - Leibniz Centre for European Economic Research.
    808. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, vol. 12(4), pages 672-702, November.
    809. Huh, Sahn-Wook & Subrahmanyam, Avanidhar, 2004. "Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements," University of California at Los Angeles, Anderson Graduate School of Management qt6nm0966w, Anderson Graduate School of Management, UCLA.
    810. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
    811. Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
    812. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
    813. Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research.
    814. Hsiu-Lang Chen, 2006. "On Russell index reconstitution," Review of Quantitative Finance and Accounting, Springer, vol. 26(4), pages 409-430, June.
    815. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    816. Henker, Thomas & Wang, Jian-Xin, 2006. "On the importance of timing specifications in market microstructure research," Journal of Financial Markets, Elsevier, vol. 9(2), pages 162-179, May.
    817. Krishnan, C.N.V. & Singh, Ajai K. & Zebedee, Allan A., 2006. "An examination of large sell orders in cold IPO aftermarkets," Journal of Financial Markets, Elsevier, vol. 9(2), pages 119-143, May.
    818. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, University Library of Munich, Germany.
    819. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
    820. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    821. Van Le, 2016. "The effect of short-sale restrictions: another perspective," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 12(5), pages 700-714, October.
    822. Mark Humphery‐Jenner, 2013. "Strong Financial Laws Without Strong Enforcement: Is Good Law Always Better than No Law?," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 10(2), pages 288-324, June.
    823. Amaya, Diego & Filbien, Jean-Yves & Okou, Cédric & Roch, Alexandre F., 2018. "Distilling liquidity costs from limit order books," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 16-34.
    824. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    825. Menzie D. Chinn & Michael J. Moore, 2008. "Private Information and a Macro Model of Exchange Rates: Evidence from a Novel Data Set," NBER Working Papers 14175, National Bureau of Economic Research, Inc.
    826. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2009. "Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 757-764, April.
    827. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    828. Brooks, Raymond M. & Kim, Hongshik, 1997. "The individual investor and the weekend effect: A reexamination with intraday data," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 725-737.
    829. Kim, Yongtae & Li, Haidan & Li, Siqi, 2012. "Does eliminating the Form 20-F reconciliation from IFRS to U.S. GAAP have capital market consequences?," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 249-270.
    830. Craig H. Furfine, 2003. "Decimalization and market liquidity," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q IV), pages 2-12.
    831. Corwin, Shane A., 2004. "Specialist performance and new listing allocations on the NYSE: an empirical analysis," Journal of Financial Markets, Elsevier, vol. 7(1), pages 27-51, January.
    832. Jos Van Bommel & Jay Dahya & Zhihong Shi, 2010. "An empirical investigation of the speed of information aggregation: a study of IPOs," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(1), pages 47-79.
    833. Nikhil Rastogi & V.N. Reddy & Kiran Kumar Kotha, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 9(2), pages 92-109, March.
    834. Brockman, Paul & Chung, Dennis Y., 2002. "The impact of informed trading on corporate liquidity," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 239-259, July.
    835. Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
    836. Saif Ullah & Nadia Massoud & Barry Scholnick, 2014. "The Impact of Fraudulent False Information on Equity Values," Journal of Business Ethics, Springer, vol. 120(2), pages 219-235, March.
    837. Farshid Abdi, 2018. "Cycles of Declines and Reversals Following Overnight Market Declines," Working Papers on Finance 1829, University of St. Gallen, School of Finance.
    838. Nan Qin & Vijay Singal, 2015. "Indexing and Stock Price Efficiency," Financial Management, Financial Management Association International, vol. 44(4), pages 875-904, October.
    839. Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2001. "Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?," NBER Working Papers 8073, National Bureau of Economic Research, Inc.
    840. Nyborg, Kjell & Wang, Zexi, 2013. "Stock Liquidity and Corporate Cash Holdings," CEPR Discussion Papers 9535, C.E.P.R. Discussion Papers.
    841. Liao Zhu & Ningning Sun & Martin T. Wells, 2022. "Clustering Structure of Microstructure Measures," Applied Economics and Finance, Redfame publishing, vol. 9(1), pages 85-95, December.
    842. Man Jin & Huiting Tian & Subal C. Kumbhakar, 2020. "How to survive and compete: the impact of information asymmetry on productivity," Journal of Productivity Analysis, Springer, vol. 53(1), pages 107-123, February.
    843. Bernile, Gennaro & Sulaeman, Johan & Wang, Qin, 2015. "Institutional trading during a wave of corporate scandals: “Perfect Payday”?," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 191-209.
    844. Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2016. "Asymmetric Effects of the Limit Order Book on Price Dynamics," Working Papers 16-5, HEC Montreal, Canada Research Chair in Risk Management, revised 09 Nov 2021.
    845. P. B. Lerner, 2020. "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers 2004.06200, arXiv.org, revised May 2020.
    846. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September.
    847. David Colwell & Julia Henker & Terry Walter, 2008. "Effect of Investor Category Trading Imbalances on Stock Returns," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 179-206, September.
    848. Doojin Ryu, 2012. "The effectiveness of the order-splitting strategy: an analysis of unique data," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 541-549, April.
    849. Beltz, Jess & Jennings, Robert, 1997. ""Wall street week with Louis Rukheyser" recommendations:Trading activity and performance," Review of Financial Economics, Elsevier, vol. 6(1), pages 15-27.
    850. Jurkatis, Simon, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
    851. Hsieh, Wen-liang Gideon & Lee, Chin-Shen, 2021. "Who reacts to what information in securities analyst reports? Direct evidence from the investor trade imbalance," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    852. Ahn, Yongkil & Tsai, Shih-Chuan, 2021. "What factors are associated with stock price jumps in high frequency?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    853. Marzo, Massimiliano & Zagaglia, Paolo, 2014. "Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 487-499.
    854. Justin Cox, 2021. "ISO order imbalances and individual stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 5-23, April.
    855. Mamatzakis, Emmanuel & Zhang, Xiaoxiang & Wang, Chaoke, 2016. "Invisible hand discipline from informed trading: Does market discipline from trading affect bank capital structure?," MPRA Paper 76215, University Library of Munich, Germany.
    856. Natividad Blasco & Pilar Corredor & Rafael Santamaría, 2010. "Does informed trading occur in the options market? Some revealing clues," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 555-579, September.
    857. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    858. Bettis, J. C. & Coles, J. L. & Lemmon, M. L., 2000. "Corporate policies restricting trading by insiders," Journal of Financial Economics, Elsevier, vol. 57(2), pages 191-220, August.
    859. Asquith, Paul & Oman, Rebecca & Safaya, Christopher, 2010. "Short sales and trade classification algorithms," Journal of Financial Markets, Elsevier, vol. 13(1), pages 157-173, February.
    860. Filippo Coro & Alfonso Dufour & Simone Varotto, 2012. "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance icma-dp2012-06, Henley Business School, University of Reading.
    861. Theissen, Erik, 2001. "A test of the accuracy of the Lee/Ready trade classification algorithm," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 147-165, June.
    862. Eric J. Higgins & Richard L. Ott & Robert A. Van Ness, 2006. "The Information Content of the 1999 Announcement of Funds from Operations (FFO) Changes for Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 241-256.
    863. Rösch, Dominik, 2021. "The impact of arbitrage on market liquidity," Journal of Financial Economics, Elsevier, vol. 142(1), pages 195-213.
    864. Cohen, Lauren & Lou, Dong, 2012. "Complicated firms," Journal of Financial Economics, Elsevier, vol. 104(2), pages 383-400.
    865. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
    866. Peiris, Shelton & Allen, David & Yang, Wenling, 2005. "Some statistical models for durations and an application to News Corporation stock prices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 545-552.
    867. Kooli, Maher & Zhou, Xiaozhou, 2020. "IPO flipping activity in China and its implications," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    868. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
    869. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
    870. Jurkatis, Simon, 2022. "Inferring trade directions in fast markets," Journal of Financial Markets, Elsevier, vol. 58(C).
    871. Wu, Chen-Hui, 2022. "The informativeness of brokerage reports: Privately-circulated versus publicly-disseminated news," International Review of Financial Analysis, Elsevier, vol. 83(C).
    872. Nyborg, Kjell & Wang, Zexi, 2019. "Corporate cash holdings: Stock liquidity and the repurchase motive," CEPR Discussion Papers 13791, C.E.P.R. Discussion Papers.
    873. Petchey, James & Wee, Marvin & Yang, Joey, 2016. "Pinning down an effective measure for probability of informed trading," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 456-475.
    874. Valseth, Siri, 2020. "Informed trading in hybrid bond markets," Global Finance Journal, Elsevier, vol. 44(C).
    875. Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
    876. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
    877. Raman Kumar & Marius Popescu, 2014. "The implied intra-day probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 357-371, February.
    878. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.
    879. Engle, Robert F. & Lange, Joe, 2001. "Predicting VNET: A model of the dynamics of market depth," Journal of Financial Markets, Elsevier, vol. 4(2), pages 113-142, April.
    880. Han-Ching Huang & Yong-Chern Su & Tze-Yi Lin, 2016. "Market Efficiency of Commercial Bank in Financial Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 756-764.
    881. Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 565-577, March.
    882. Baldauf, Markus & Mollner, Joshua, 2022. "Fast traders make a quick buck: The role of speed in liquidity provision," Journal of Financial Markets, Elsevier, vol. 58(C).
    883. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, vol. 14(1), pages 161-192, February.
    884. Attig, Najah & Fong, Wai-Ming & Gadhoum, Yoser & Lang, Larry H.P., 2006. "Effects of large shareholding on information asymmetry and stock liquidity," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2875-2892, October.
    885. Eleni Gousgounis & Sayee Srinivasan, 2019. "Block trades in options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(8), pages 985-1007, August.
    886. Chen, Zhijuan & Lin, William T. & Ma, Changfeng, 2019. "Do individual investors demand or provide liquidity? New evidence from dividend announcements," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    887. Yan Han & Xin Cui & Gloria Y. Tian & Peipei Wang, 2023. "Bayesian Investor Belief Updating Speed and Market Underreaction to Earnings Announcements," Australian Accounting Review, CPA Australia, vol. 33(1), pages 66-85, March.
    888. Leonce Bargeron & Michael Farrell, 2021. "The Price Effect of Stock Repurchases: Evidence from Dual Class Firms," Management Science, INFORMS, vol. 67(10), pages 6568-6580, October.
    889. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    890. Hao, Xiaoting & Lee, Eunju & Piqueira, Natalia, 2013. "Short sales and put options: Where is the bad news first traded?," Journal of Financial Markets, Elsevier, vol. 16(2), pages 308-330.
    891. Daniel Weaver & Xing Zhou, 2010. "The value of the floor," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 221-243, October.
    892. Quanbiao Shang & Mindy Mallory & Philip Garcia, 2018. "The components of the bid†ask spread: Evidence from the corn futures market," Agricultural Economics, International Association of Agricultural Economists, vol. 49(3), pages 381-393, May.
    893. Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
    894. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    895. Mai, Nhat Chi, 2020. "Essays on the Vietnam Stock Market," OSF Preprints 3uaqt, Center for Open Science.
    896. Espen Sirnes & Minh Thi Hong Dinh, 2021. "Tick Size and Price Reversal after Order Imbalance," IJFS, MDPI, vol. 9(2), pages 1-13, March.
    897. Giuliano Iannotta & Simon H. Kwan, 2013. "The Impact of Reserves Practices on Bank Opacity," Working Paper Series 2013-35, Federal Reserve Bank of San Francisco.
    898. Gary McCormick & Dan French, 2016. "Effects of frequent information disclosure: the case of daily net asset value reporting for closed-end investment companies," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 107-122, January.
    899. T. Clifton Green & Byoung-Hyoun Hwang, 2012. "Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns," Management Science, INFORMS, vol. 58(2), pages 432-444, February.
    900. Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2021. "Quote dynamics of cross‐listed stocks," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 497-522, June.
    901. Bechmann, Ken L. & Lunde, Asger & Zebedee, Allan A., 2014. "In- and out-of-the-money convertible bond calls: Signaling or price pressure?," Journal of Corporate Finance, Elsevier, vol. 24(C), pages 135-148.
    902. Vega, Clara, 2006. "Stock price reaction to public and private information," Journal of Financial Economics, Elsevier, vol. 82(1), pages 103-133, October.
    903. Visaltanachoti, Nuttawat & Yang, Ting, 2010. "Speed of convergence to market efficiency for NYSE-listed foreign stocks," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 594-605, March.
    904. Michael Goldstein & Andriy Shkilko & Bonnie Ness & Robert Ness, 2010. "Inter-market competition for NYSE-listed securities under decimals," Review of Quantitative Finance and Accounting, Springer, vol. 35(4), pages 371-391, November.
    905. Charles Cao & Lubomir Petrasek, 2011. "Liquidity risk and hedge fund ownership," Finance and Economics Discussion Series 2011-49, Board of Governors of the Federal Reserve System (U.S.).
    906. Mazza, Paolo & Petitjean, Mikael, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," LIDAM Reprints LFIN 2019006, Université catholique de Louvain, Louvain Finance (LFIN).
    907. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    908. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
    909. Martínez, Miguel Ángel & Yzaguirre, J. & Tapia, Mikel, 1998. "Information transmission around block trades on the Spanish stock market," DEE - Working Papers. Business Economics. WB 6531, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    910. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
    911. Michael J. Brennan & Sahn-Wook Huh & Avanidhar Subrahmanyam, 2016. "Asymmetric Effects of Informed Trading on the Cost of Equity Capital," Management Science, INFORMS, vol. 62(9), pages 2460-2480, September.
    912. Oliver Zhen Li, 2010. "Tax‐Induced Dividend Capturing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 866-904, July.
    913. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
    914. Chang‐Mo Kang & Donghyun Kim & Junyong Kim & Geul Lee, 2022. "Informed trading of out‐of‐the‐money options and market efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 247-279, June.
    915. Andy Snell & Ian Tonks, 1996. "Utilising Time Series Methods to Assess Information and Inventory Effects in a Dealer Market in Illiquid Stocks," FMG Discussion Papers dp242, Financial Markets Group.
    916. Hoang Luong Luong & Huong Giang (Lily) Nguyen & Xiangkang Yin, 2015. "When Is a Firm's Information Asymmetry Priced? The Role of Institutional Investors," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 55-88, March.
    917. Bushee, Brian & Cedergren, Matthew & Michels, Jeremy, 2020. "Does the media help or hurt retail investors during the IPO quiet period?," Journal of Accounting and Economics, Elsevier, vol. 69(1).
    918. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
    919. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
    920. Ryan T. Ball, 2013. "Does Anticipated Information Impose a Cost on Risk‐Averse Investors? A Test of the Hirshleifer Effect," Journal of Accounting Research, Wiley Blackwell, vol. 51(1), pages 31-66, March.
    921. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2005. "The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt6z81z2wc, Anderson Graduate School of Management, UCLA.
    922. 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 379-396, October.
    923. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
    924. Lepone, Andrew & Wong, Jin Boon, 2017. "Pseudo market-makers, market quality and the minimum tick size," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 88-100.
    925. Jonathan L. Rogers & Douglas J. Skinner & Sarah L. C. Zechman, 2017. "Run EDGAR Run: SEC Dissemination in a High‐Frequency World," Journal of Accounting Research, Wiley Blackwell, vol. 55(2), pages 459-505, May.
    926. Luis Goncalves-Pinto & Bruce D. Grundy & Allaudeen Hameed & Thijs van der Heijden & Yichao Zhu, 2020. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market," Management Science, INFORMS, vol. 66(9), pages 3903-3926, September.
    927. Han-ching Huang & Yong-chern Su & Hsin-Pei Tu, 2018. "Illiquid Trades on Investment Banks in Financial Crisis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(5), pages 1-5.
    928. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    929. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
    930. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    931. Hardy Johnson & Ansley Chua & Tianming Zhang, 2018. "Odd lot trading and earnings announcements," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 529-551, August.
    932. Waël Louhichi, 2010. "Which trades move stock prices on Euronext Paris?," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 382-391, February.
    933. Po-Jung Chen, 2016. "The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 203-227, June.
    934. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-.
    935. Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
    936. Ciao-Wei Chen & Bradford F. Hepfer & Phillip J. Quinn & Ryan J. Wilson, 2018. "The effect of tax-motivated income shifting on information asymmetry," Review of Accounting Studies, Springer, vol. 23(3), pages 958-1004, September.
    937. Gjerde, Tom & Mahenthiran, Sakthi & Cademartori, David, 2013. "Effect of ownership, governance, and transparency on liquidity – Chilean evidence," Journal of Contemporary Accounting and Economics, Elsevier, vol. 9(2), pages 183-202.
    938. Andreas Storkenmaier & Martin Wagener & Christof Weinhardt, 2012. "Public information in fragmented markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 179-215, June.
    939. Bart Frijns & Aaron Gilbert & Alireza Tourani‐Rad, 2008. "Insider Trading, Regulation, And The Components Of The Bid–Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(3), pages 225-246, September.
    940. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
    941. Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
    942. Beng Wee Goh & Jimmy Lee & Jeffrey Ng & Kevin Ow Yong, 2016. "The Effect of Board Independence on Information Asymmetry," European Accounting Review, Taylor & Francis Journals, vol. 25(1), pages 155-182, May.
    943. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
    944. Cooney, John Jr. & Van Ness, Bonnie & Van Ness, Robert, 2003. "Do investors prefer even-eighth prices? Evidence from NYSE limit orders," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 719-748, April.
    945. Lin, Ji-Chai & Sanger, Gary C. & Geoffrey Booth, G., 1998. "External information costs and the adverse selection problem: A comparison of NASDAQ and NYSE stocks," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 113-136.
    946. Rose, Annica, 2014. "The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 171-184.
    947. Jess Beltz & Robert Jennings, 1997. "“Wall street week with Louis Rukheyser” recommendations:Trading activity and performance," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 15-27.
    948. Michele O’Neill, 2002. "Do institutions care about market structure? A case study of listing firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 50-62, March.
    949. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
    950. Alex Kim & Maximilian Muhn & Valeri Nikolaev, 2023. "Bloated Disclosures: Can ChatGPT Help Investors Process Information?," Papers 2306.10224, arXiv.org, revised Feb 2024.
    951. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.
    952. Pierre-Cyrille Hautcoeur & Amir Rezaee & Angelo Riva, 2023. "Competition between securities markets: stock exchange industry regulation in the Paris financial center at the turn of the twentieth century," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 17(2), pages 261-299, May.
    953. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
    954. Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," Research Department Publications 3206, Inter-American Development Bank, Research Department.
    955. Werner, Ingrid M., 2003. "NYSE order flow, spreads, and information," Journal of Financial Markets, Elsevier, vol. 6(3), pages 309-335, May.
    956. Enzo Busseti & Fabrizio Lillo, 2012. "Calibration of optimal execution of financial transactions in the presence of transient market impact," Papers 1206.0682, arXiv.org.
    957. Marzagão, Thiago, 2021. "Insider trading in Brazil's stock market," OSF Preprints fu9mg, Center for Open Science.
    958. Yao, Shouyu & Wang, Chunfeng & Fang, Zhenming & Chiao, Chaoshin, 2021. "MAX is not the max under the interference of daily price limits: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 348-369.
    959. Rechenthin, Michael & Street, W. Nick, 2013. "Using conditional probability to identify trends in intra-day high-frequency equity pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6169-6188.
    960. Chung, Kee H. & Chuwonganant, Chairat, 2014. "Uncertainty, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 113(3), pages 476-499.
    961. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.
    962. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
    963. Chakrabarty, Bidisha & Seetharaman, Ananth & Wang, Weimin, 2014. "Institutional versus retail trades following financial restatements: The effect of Sarbanes-Oxley," Research in Accounting Regulation, Elsevier, vol. 26(1), pages 12-25.
    964. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Market impacts of trades for stocks listed on the Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 20(C), pages 152-175.
    965. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
    966. Igor Filatotchev & Xiaoxiang Zhang & Jenifer Piesse, 2011. "Multiple agency perspective, family control, and private information abuse in an emerging economy," Asia Pacific Journal of Management, Springer, vol. 28(1), pages 69-93, March.
    967. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    968. Hautsch, Nikolaus, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers 02/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
    969. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    970. Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
    971. Liao Xu & Xiangkang Yin & Jing Zhao, 2022. "Are the flows of exchange‐traded funds informative?," Financial Management, Financial Management Association International, vol. 51(4), pages 1165-1200, December.
    972. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    973. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    974. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    975. Liu Guang & Wang Xiaojie & Li Ruifan, 2019. "Multi-Scale RCNN Model for Financial Time-series Classification," Papers 1911.09359, arXiv.org.
    976. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2010. "The Price Impact of Order Book Events," Papers 1011.6402, arXiv.org, revised Apr 2011.
    977. Hearn, Bruce, 2014. "The political institutional and firm governance determinants of liquidity: Evidence from North Africa and the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 127-158.
    978. Zhang, Sijia & Gregoriou, Andros, 2019. "The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK," Research in International Business and Finance, Elsevier, vol. 50(C), pages 191-200.
    979. Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung, 2005. "Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 8(4), pages 421-451, November.
    980. Gosnell, Thomas F. & Keown, Arthur J. & Pinkerton, John M., 1996. "The intraday speed of stock price adjustment to major dividend changes: Bid-ask bounce and order flow imbalances," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 247-266, March.
    981. Bond, Shaun A. & Chang, Qingqing, 2012. "Liquidity dynamics across public and private markets," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1890-1910.
    982. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
    983. Alex Frino & Vito Mollica & Maria Grazia Romano, 2013. "Transaction fees and trading strategies in financial markets," STUDI ECONOMICI, FrancoAngeli Editore, vol. 2013(111), pages 25-49.
    984. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
    985. Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
    986. Rubin, Amir, 2007. "Ownership level, ownership concentration and liquidity," Journal of Financial Markets, Elsevier, vol. 10(3), pages 219-248, August.
    987. Felipe Bastos G. Silva & Ekaterina Volkova, 2018. "Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis," Annals of Finance, Springer, vol. 14(1), pages 125-141, February.
    988. Agarwal, Vikas & Wang, Lingling, 2007. "Transaction costs and value premium," CFR Working Papers 07-06, University of Cologne, Centre for Financial Research (CFR).
    989. Li, Dan & Xia, Ying, 2021. "Gauging the effects of stock liquidity on earnings management: Evidence from the SEC tick size pilot test," Journal of Corporate Finance, Elsevier, vol. 67(C).
    990. Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013. "Sub-Penny and Queue-Jumping," Working Paper Series 2013-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    991. Cao, Charles & Petrasek, Lubomir, 2014. "Liquidity risk in stock returns: An event-study perspective," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 72-83.
    992. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
    993. Qin Lei & Murli Rajan & Xuewu Wang, 2012. "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 246-264, June.
    994. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2660-2671.
    995. Qian, Xiaolin, 2014. "Small investor sentiment, differences of opinion and stock overvaluation," Journal of Financial Markets, Elsevier, vol. 19(C), pages 219-246.
    996. Robert P. Bartlett, III & Justin McCrary, 2016. "How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps," NBER Working Papers 22551, National Bureau of Economic Research, Inc.
    997. Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2020. "Internationalization of futures markets: Lessons from China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    998. Dutordoir, Marie & Strong, Norman C. & Sun, Ping, 2022. "Does short-selling potential influence merger and acquisition payment choice?," Journal of Financial Economics, Elsevier, vol. 144(3), pages 761-779.
    999. Battalio, Robert H. & Lerman, Alina & Livnat, Joshua & Mendenhall, Richard R., 2012. "Who, if anyone, reacts to accrual information?," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 205-224.
    1000. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 230-252, January.
    1001. Nestoras Chalkidis & Rahul Savani, 2021. "Trading via Selective Classification," Papers 2110.14914, arXiv.org, revised Oct 2021.
    1002. Ryu, Doojin, 2013. "What types of investors generate the two-phase phenomenon?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5939-5946.
    1003. Chakrabarty, Bidisha & Corwin, Shane A. & Panayides, Marios A., 2011. "When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 361-386, July.
    1004. Bidisha Chakrabarty & Pankaj K. Jain & Andriy Shkilko & Konstantin Sokolov, 2021. "Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5," Management Science, INFORMS, vol. 67(2), pages 1183-1198, February.
    1005. Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2011. "ETFs, Arbitrage, and Contagion," Working Paper Series 2011-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    1006. Jinliang Li & Chunchi Wu, 2006. "Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2697-2740, September.
    1007. Kee Chung & Chairat Chuwonganant & D. McCormick, 2006. "Order preferencing, adverse-selection costs, and the probability of information-based trading," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 343-364, December.
    1008. Elizabeth Blankespoor & Ed Dehaan & John Wertz & Christina Zhu, 2019. "Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs," Journal of Accounting Research, Wiley Blackwell, vol. 57(1), pages 53-84, March.
    1009. Duarte, Jefferson & Hu, Edwin & Young, Lance, 2020. "A comparison of some structural models of private information arrival," Journal of Financial Economics, Elsevier, vol. 135(3), pages 795-815.
    1010. Cenesizoglu, Tolga & Grass, Gunnar, 2018. "Bid- and ask-side liquidity in the NYSE limit order book," Journal of Financial Markets, Elsevier, vol. 38(C), pages 14-38.
    1011. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
    1012. George O. Aragon & Philip E. Strahan, 2009. "Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy," NBER Working Papers 15336, National Bureau of Economic Research, Inc.
    1013. Malay Dey & B. Radhakrishna, 2015. "Informed trading, institutional trading, and spread," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 288-307, April.
    1014. Francis Breedon & Allison Holland, 1998. "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England.
    1015. Feng, Xunan & Johansson, Anders C. & Wei, Dengxi, 2023. "Judging a book by its cover: Analysts and attention-driven price patterns in China's IPO market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    1016. Stephan Meyer & Martin Wagener & Christof Weinhardt, 2015. "Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 177-202, April.
    1017. Stoll, Hans R. & Schenzler, Christoph, 2006. "Trades outside the quotes: Reporting delay, trading option, or trade size?," Journal of Financial Economics, Elsevier, vol. 79(3), pages 615-653, March.
    1018. William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
    1019. Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019. "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    1020. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, vol. 111(3), pages 625-645.
    1021. Wang, Shu-Feng & Lee, Kuan-Hui, 2015. "Do foreign short-sellers predict stock returns? Evidence from daily short-selling in Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 56-75.
    1022. Voev, Valeri, 2006. "A trade-by-trade surprise measure and its relation to observed spreads on the NYSE," CoFE Discussion Papers 06/03, University of Konstanz, Center of Finance and Econometrics (CoFE).
    1023. A. Inci & H. Seyhun, 2012. "How do quotes and prices evolve around isolated informed trades?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 499-519, April.
    1024. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.
    1025. William J. McNally & Brian F. Smith & Thomas Barnes, 2006. "The Price Impacts of Open Market Repurchase Trades," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 735-752, June.
    1026. Bill Hu & Joon Ho Hwang & Christine Jiang, 2014. "The Impact of Earnings Guidance Cessation on Information Asymmetry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 73-99, January.
    1027. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
    1028. Qin Zhang & Jin Boon Wong, 2022. "Do oil shocks impact stock liquidity?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 472-491, March.
    1029. Chen, Rong & Geng, Heng (Griffin) & Lin, Hai & Nguyen, Phuong Thi Ly, 2021. "Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    1030. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    1031. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    1032. Dai, Yunhao & Kong, Dongmin & Wang, Maobin, 2013. "Investor reactions to food safety incidents: Evidence from the Chinese milk industry2We thank Colin Poulton (Managing Editor), two anonymous referees, Martin Qiu, Shasha Liu, and Yan Sheng for helpful," Food Policy, Elsevier, vol. 43(C), pages 23-31.
    1033. Deb, Saikat Sovan & Kalev, Petko S. & Marisetty, Vijaya B., 2013. "Flexible price limits: The case of Tokyo Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 66-84.
    1034. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2002. "The change in trading activity on volatility and adverse selection component: evidence from ADR splits," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 323-345.
    1035. Gehrig, Thomas & Haas, Marlene, 2016. "Anomalous Trading Prior to Lehman Brothers' Failure," CEPR Discussion Papers 11194, C.E.P.R. Discussion Papers.
    1036. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015.
    1037. Patrick Dennis, 2003. "Stock Splits and Liquidity: The Case of the Nasdaq‐100 Index Tracking Stock," The Financial Review, Eastern Finance Association, vol. 38(3), pages 415-433, August.
    1038. Katharina, Lewellen, 2004. "Risk, Reputation, and the Price Support of IPOs," Working papers 4453-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    1039. Cheoljun Eom & Steven J. Jordan & Woo‐Baik Lee & Jong Won Park, 2020. "Programs trades and trade regulation: An evidence of the Korean securities market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 44-66, January.
    1040. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
    1041. Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University.
    1042. Michael Weigerding & Michael Hanke, 2018. "Drivers of seasonal return patterns in German stocks," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 173-196, February.
    1043. Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An, 2021. "DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities," Papers 2201.09058, arXiv.org, revised Aug 2022.
    1044. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.
    1045. Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi, 2014. "Rating-Based Investment Practices and Bond Market Segmentation," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 4(2), pages 162-205.
    1046. Ahn, Hee-Joon & Cao, Charles Q. & Choe, Hyuk, 1998. "Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities," Journal of Financial Markets, Elsevier, vol. 1(1), pages 51-87, April.
    1047. Jeffrey R. Black, 2022. "The impact of make-take fees on market efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1015-1035, April.
    1048. Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).
    1049. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).
    1050. Anand, Amber & Weaver, Daniel G., 2004. "Can order exposure be mandated?," Journal of Financial Markets, Elsevier, vol. 7(4), pages 405-426, October.
    1051. Sebahattin Demirkan & Harlan Platt, 2018. "Differential Investors Response to Restatement Announcements: An Empirical Investigation," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(2), pages 29-59.
    1052. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
    1053. Chen, Haiqiang & Gu, Ming & Ni, Bo, 2023. "How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 22-39.
    1054. Sarfraz A. Khan & Gerald Lobo & Emeka T. Nwaeze, 2017. "Public re-release of going-concern opinions and market reaction," Accounting and Business Research, Taylor & Francis Journals, vol. 47(3), pages 237-267, April.
    1055. Jame, Russell & Tong, Qing, 2014. "Industry-based style investing," Journal of Financial Markets, Elsevier, vol. 19(C), pages 110-130.
    1056. Raymond M. Brooks, 1994. "Bid-Ask Spread Components Around Anticipated Announcements," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 375-386, September.
    1057. Kohler, Alexander & von Wyss, Rico, 2012. "Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs," Working Papers on Finance 1210, University of St. Gallen, School of Finance.
    1058. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
    1059. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
    1060. Joanna Olbryś & Elżbieta Majewska, 2020. "Assessing Commonality in Liquidity with Principal Component Analysis: The Case of the Warsaw Stock Exchange," JRFM, MDPI, vol. 13(12), pages 1-13, December.
    1061. Albert S. Kyle & Anna A. Obizhaeva, 2016. "Market Microstructure Invariance: Empirical Hypotheses," Econometrica, Econometric Society, vol. 84(4), pages 1345-1404, July.
    1062. Nan Qin & Vijay Singal, 2022. "Equal-weighting and value-weighting: which one is better?," Review of Quantitative Finance and Accounting, Springer, vol. 58(2), pages 743-768, February.
    1063. Barber, Brad M. & Odean, Terrance, 2013. "The Behavior of Individual Investors," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1533-1570, Elsevier.
    1064. HEINEN, Andreas & RENGIFO, Erick, 2003. "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE 2003025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    1065. Levent C. Uslu & Burak Evre, 2017. "Liquidity Adjusted Value At Risk: Integrating The Uncertainty In Depth And Tightness," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(1), pages 55-69.
    1066. Lin, William T. & Tsai, Shih-Chuan & Zheng, Zhenlong & Qiao, Shuai, 2017. "Does options trading convey information on futures prices?," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 182-196.
    1067. Valseth, Siri, 2010. "Forecasting short term yield changes using order flow. Is dealer skill a source of predictability?," UiS Working Papers in Economics and Finance 2010/12, University of Stavanger.
    1068. Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan, 2014. "Liquidity effects in corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 105-116.
    1069. Millicent Chang & Xiaolin Qian & Jing Yu & Yvonne See, 2017. "Does director trading change the information environment?," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 205-229, May.
    1070. Sigridur Benediktsdottir, 2006. "An empirical analysis of specialist trading behavior at the New York Stock Exchange," International Finance Discussion Papers 876, Board of Governors of the Federal Reserve System (U.S.).
    1071. Shane A. Corwin & Jay F. Coughenour, 2008. "Limited Attention and the Allocation of Effort in Securities Trading," Journal of Finance, American Finance Association, vol. 63(6), pages 3031-3067, December.
    1072. Krishnamurti, Chandrasekhar & Thong, Tiong Yang, 2008. "Lockup expiration, insider selling and bid-ask spreads," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 230-244.
    1073. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
    1074. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.
    1075. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
    1076. Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014. "Trade classification accuracy for the BIST," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 259-282.
    1077. Gould, Martin D. & Hautsch, Nikolaus & Howison, Sam D. & Porter, Mason A., 2017. "Counterparty credit limits: An effective tool for mitigating counterparty risk?," CFS Working Paper Series 581, Center for Financial Studies (CFS).
    1078. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    1079. Tian Liang, 2012. "Momentum and asymmetric information," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 208-230, June.
    1080. Brooks, Raymond M. & Park, JinWoo & Su, Tie, 1999. "Large price movements and short-lived changes in spreads, volume, and selling pressure," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(2), pages 303-316.
    1081. Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010. "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 383-411, April.
    1082. Han-Ching Huang & Yong-Chern Su & Hsin-Ying Wang, 2015. "Market Efficiency around the Announcement Day of Self-Tender Offers," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 121-128.
    1083. Riordan, Ryan & Storkenmaier, Andreas & Wagener, Martin & Sarah Zhang, S., 2013. "Public information arrival: Price discovery and liquidity in electronic limit order markets," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1148-1159.
    1084. Cosmin Octavian Cepoi & Victor Dragotă & Ruxandra Trifan & Andreea Iordache, 2023. "Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    1085. Jimmy E. Hilliard & Jitka Hilliard, 2018. "Rebalancing versus buy and hold: theory, simulation and empirical analysis," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 1-32, January.
    1086. Tarun Chordia & Jianfeng Hu & Avanidhar Subrahmanyam & Qing Tong, 2019. "Order Flow Volatility and Equity Costs of Capital," Management Science, INFORMS, vol. 65(4), pages 1520-1551, April.
    1087. Jaemin Kim, 2005. "Cross-sectional differences in the liquidity effects of open market share repurchases," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 29(1), pages 1-31, March.
    1088. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    1089. Craig H. Furfine, 2003. "When is inter-transaction time informative?," Working Paper Series WP-03-04, Federal Reserve Bank of Chicago.
    1090. Xu, Liao & Xue, Mingqi & Zhang, Xuan & Zhao, Yang, 2023. "Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 87(C).
    1091. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.