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Citations for "Continuous Auctions and Insider Trading"

by Kyle, Albert S

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  1. Richard J. Barkham & Charles W. R. Ward, 1999. "Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 291-312.
  2. 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.
  3. Jong, F.C.J.M. de & Nijman, T.E. & Roell, A.A., 1993. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Discussion Paper 1993-29, Tilburg University, Center for Economic Research.
  4. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
  5. Laurence Lescourret & Thierry Foucault, 2001. "Information Sharing Liquidity and Transaction Costs in Floor-Based Trading Systems," Working Papers 2001-18, Centre de Recherche en Economie et Statistique.
  6. Markus Glaser & Martin Weber, 2007. "Overconfidence and trading volume," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(1), pages 1-36, June.
  7. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Finding informed traders in futures and their inderlying assets in intraday trading," Papers 1402.6583, arXiv.org.
  8. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  9. Medrano, Luis Angel & Vives, Xavier, 2001. "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 221-48, Summer.
  10. Dirk Schiereck & Christian Voigt, 2010. "With or without you: market quality of floor trading when screen trading closes early," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 179-197, February.
  11. Park, Andreas & Sgroi, Daniel, 2008. "Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing," The Warwick Economics Research Paper Series (TWERPS) 868, University of Warwick, Department of Economics.
  12. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010. "Private information, stock markets, and exchange rates," BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210 Bank for International Settlements.
  13. Khanna, Naveen & Sonti, Ramana, 2004. "Value creating stock manipulation: feedback effect of stock prices on firm value," Journal of Financial Markets, Elsevier, vol. 7(3), pages 237-270, June.
  14. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
  15. Mailath, George J. & Nöldeke, Georg, 2008. "Does competitive pricing cause market breakdown under extreme adverse selection?," Journal of Economic Theory, Elsevier, vol. 140(1), pages 97-125, May.
  16. Liu, Hong & Zhang, Zhixiang, 2011. "Insider trading with public and shared information," Economic Modelling, Elsevier, vol. 28(4), pages 1756-1762, July.
  17. Rohit Rahi & Jean-Pierre Zigrand, 2007. "A theory of strategic intermediation and endogenous liquidity," LSE Research Online Documents on Economics 4764, London School of Economics and Political Science, LSE Library.
  18. Wisniewski, Tomasz P. & Bohl, Martin T., 2005. "The Information Content of Registered Insider Trading Under Lax Law Enforcement," International Review of Law and Economics, Elsevier, vol. 25(2), pages 169-185, June.
  19. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
  20. Burnside, A Craig & Eichenbaum, Martin & Kleshchelski, Isaac & Rebelo, Sérgio, 2006. "The Returns to Currency Speculation," CEPR Discussion Papers 5883, C.E.P.R. Discussion Papers.
  21. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
  22. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
  23. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
  24. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
  25. Holden, C.W., 1991. "Risk Aversion, Imperfect Competition,, and Long-Lived Information," Papers fb-_91-06, Columbia - Graduate School of Business.
  26. Zhechao (Charles) Liu & Nima Kordzadeh & Yoris A. Au & Jan G. Clark, . "Investigating the Reciprocal Relationships Within Health Virtual Communities," Working Papers 0007, College of Business, University of Texas at San Antonio.
  27. Richard K. Lyons, 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," NBER Working Papers 3889, National Bureau of Economic Research, Inc.
  28. 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, 03.
  29. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, 04.
  30. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  31. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
  32. Tri Vi Dang & Florian Morath, 2013. "The Taxation of Bilateral Trade with Endogenous Information," Working Papers tax-mpg-rps-2013-07, Max Planck Institute for Tax Law and Public Finance.
  33. Wang, Changyun, 2001. "The behavior and performance of major types of futures traders," MPRA Paper 36426, University Library of Munich, Germany, revised Jul 2002.
  34. Joseph Golec, 2007. "Are the Insider Trades of a Large Institutional Investor Informed?," The Financial Review, Eastern Finance Association, vol. 42(2), pages 161-190, 05.
  35. Sugato Chakravarty, 2002. "An examination of own account trading by dual traders in futures markets," Economics Bulletin, AccessEcon, vol. 28(5), pages A0.
  36. Vayanos, Dimitri & Wang, Jiang, 2009. "Liquidity and Asset Prices: A Unified Framework," CEPR Discussion Papers 7410, C.E.P.R. Discussion Papers.
  37. Glaser, Markus & Weber, Martin, 2009. "Which past returns affect trading volume?," Journal of Financial Markets, Elsevier, vol. 12(1), pages 1-31, February.
  38. Lazzarini, Sergio G. & Carvalho de Mello, Pedro, 2001. "Governmental versus self-regulation of derivative markets: examining the U.S. and Brazilian experience," Journal of Economics and Business, Elsevier, vol. 53(2-3), pages 185-207.
  39. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Discussion Paper 2002-42, Tilburg University, Center for Economic Research.
  40. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  41. Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Oct 2013.
  42. repec:dgr:uvatin:2000018 is not listed on IDEAS
  43. Barclay, Michael J. & Hendershott, Terrence, 2008. "A comparison of trading and non-trading mechanisms for price discovery," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 839-849, December.
  44. Joseph, Kissan & Wintoki, M. Babajide, 2013. "Advertising investments, information asymmetry, and insider gains," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 1-15.
  45. Asparouhova, Elena & Bossaerts, Peter & Plott, Charles, 2003. "Excess demand and equilibration in multi-security financial markets: the empirical evidence," Journal of Financial Markets, Elsevier, vol. 6(1), pages 1-21, January.
  46. Diego A. Agudelo, 2007. "Do Local or Foreign traders know more in an emerging market? A possible solution of the puzzle," DOCUMENTOS DE TRABAJO CIEF 011117, UNIVERSIDAD EAFIT.
  47. Grullon, Gustavo & Albert Wang, F., 2001. "Closed-End Fund Discounts with Informed Ownership Differential," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 171-205, April.
  48. repec:hal:journl:halshs-00676502 is not listed on IDEAS
  49. Fabrice Rousseau & Laurent Germain & Fabrice Rousseau & Anne Vanhems, 2008. "Irrational Financial Markets," Economics, Finance and Accounting Department Working Paper Series n1870108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  50. Frédéric Koessler & Anthony Ziegelmeyer & Marie-Hélène Broihanne, 2003. "The Favorite-Longshot Bias in Sequential Parimutuel Betting with Non-Expected Utility Players," Theory and Decision, Springer, vol. 54(3), pages 231-248, May.
  51. Bruno Biais & Thomas Mariotti, 2003. "Strategic Liquidity Supply and Security Design," STICERD - Theoretical Economics Paper Series 445, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  52. Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  53. repec:hal:journl:halshs-00653971 is not listed on IDEAS
  54. 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.
  55. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 2000. "When an event is not an event: the curious case of an emerging market," Journal of Financial Economics, Elsevier, vol. 55(1), pages 69-101, January.
  56. Jonathan Donier, 2012. "Market Impact with Autocorrelated Order Flow under Perfect Competition," Papers 1212.4770, arXiv.org.
  57. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  58. Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006. "What defines `news' in foreign exchange markets?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
  59. James Dow & Gary Gorton, . "Arbitrage Chains," Rodney L. White Center for Financial Research Working Papers 06-93, Wharton School Rodney L. White Center for Financial Research.
  60. Gary Gorton & Lixin Huang, 2004. "Liquidity, Efficiency, and Bank Bailouts," American Economic Review, American Economic Association, vol. 94(3), pages 455-483, June.
  61. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
  62. Gresse, Carole & Gajewski, Jean-François, 2006. "A Survey of the European IPO Market," Economics Papers from University Paris Dauphine 123456789/8670, Paris Dauphine University.
  63. Toni Gravelle, 2002. "The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ," Working Papers 02-9, Bank of Canada.
  64. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  65. Yang, Chunpeng & Li, Jinfang, 2014. "Two-period trading sentiment asset pricing model with information," Economic Modelling, Elsevier, vol. 36(C), pages 1-7.
  66. 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.
  67. Vo, Minh T., 2008. "Strategic trading when some investors receive information before others," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 319-332.
  68. Hugo A. Hopenhayn & Ingrid M. Werner, 1993. "Information, liquidity and asset trading in a random matching game," Economics Working Papers 19, Department of Economics and Business, Universitat Pompeu Fabra.
  69. Chenghuan Sean Chu & Andreas Lehnert & Wayne Passmore, 2009. "Strategic Trading in Multiple Assets and the Effects on Market Volatiliy," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 143-172, December.
  70. Montserrat Ferré & Carolina Manzano, 2009. "When do central banks prefer to intervene secretly?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 378-393.
  71. Karali, Berna & Thurman, Walter N., 2008. "Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37612, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  72. Nöldeke, Georg & Tröger, Thomas, 2005. "A Characterization of the Distributions That Imply Existence of Linear Equilibria in the Kyle-Model," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 43, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  73. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
  74. 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.
  75. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
  76. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
  77. Bryan Routledge & Stanley Zin, . "Model Uncertainty and Liquidity," GSIA Working Papers 2001-E17, Carnegie Mellon University, Tepper School of Business.
  78. Kelmara Mendes Vieira & Paulo Sérgio Ceretta & Juliara Lopes da Fonseca, 2011. "Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 40-63, July.
  79. McAleer, M.J. & Radalj, K., 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Econometric Institute Research Papers EI 2013-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  80. Villatoro, Félix, 2009. "The delegated portfolio management problem: Reputation and herding," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2062-2069, November.
  81. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  82. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
  83. Yu, Hsin-Yi & Hsieh, Shu-Fan, 2010. "The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 270-280, September.
  84. Baldursson , Fridrik M. & von der Fehr, Nils-Henrik, 2007. "Vertical Integration and Long-Term Contracts in Risky Markets," Memorandum 01/2007, Oslo University, Department of Economics.
  85. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  86. Rasmus Fatum & Jesper Pedersen & Peter Norman Sørensen, 2010. "Are the intraday effects of central bank intervention on exchange rate spreads asymmetric and state dependent?," Globalization and Monetary Policy Institute Working Paper 59, Federal Reserve Bank of Dallas.
  87. 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.
  88. Peter R. Locke & Asani Sarkar & Lifan Wu, 1997. "Market liquidity and trader welfare in multiple dealer markets: evidence from dual trading restrictions," Research Paper 9721, Federal Reserve Bank of New York.
  89. 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.
  90. Robert F. Engle & Asger Lunde, 2003. "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 159-188.
  91. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.
  92. Daniel Szpiro, 1998. "Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français," Revue économique, Presses de Sciences-Po, vol. 0(2), pages 487-526.
  93. Kenneth A. Froot & Paul G. J. O'Connell, 2003. "The Risk Tolerance of International Investors," NBER Working Papers 10157, National Bureau of Economic Research, Inc.
  94. Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
  95. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  96. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
  97. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1239-1249, May.
  98. Peter R. Locke & Zhan Onayev, 2005. "Trade Duration: Information and Trade Disposition," The Financial Review, Eastern Finance Association, vol. 40(1), pages 113-129, 02.
  99. Guillaume Rocheteau & Pierre‐Olivier Weill, 2011. "Liquidity in Frictional Asset Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 261-282, October.
  100. Jens Dick-Nielsen & Jacob Gyntelberg & Thomas Sangill, 2012. "Liquidity in Government versus Covered Bond Markets," BIS Working Papers 392, Bank for International Settlements.
  101. Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
  102. García, Diego & Urošević, Branko, 2013. "Noise and aggregation of information in large markets," Journal of Financial Markets, Elsevier, vol. 16(3), pages 526-549.
  103. Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 313-322, December.
  104. Eugene N. White, 2013. "Competition Among the Exchanges before the SEC: Was the NYSE a Natural Hegemon?," NBER Working Papers 18712, National Bureau of Economic Research, Inc.
  105. Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovsepian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages i-i.
  106. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
  107. Guillaume Rocheteau, 2008. "Money and competing assets under private information," Working Paper 0802, Federal Reserve Bank of Cleveland.
  108. Maisondieu-Laforge, Olivier, 2007. "Informed trading and the consistent enforcement hypothesis: Evidence from bid-ask spreads in France and Britain," Global Finance Journal, Elsevier, vol. 17(3), pages 439-453, March.
  109. 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.
  110. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada.
  111. Kim, Sang W. & Rogers, John H., 1995. "International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 117-133, June.
  112. Luciano Campi & Umut \c{C}etin & Albina Danilova, 2012. "Dynamic Markov bridges motivated by models of insider trading," Papers 1202.2980, arXiv.org.
  113. Luisella Bosetti & Pietro Gottardo & Maurizio Murgia & Andrea Pinna, 2014. "The Impact of Large Orders in Electronic Markets," BEMPS - Bozen Economics & Management Paper Series BEMPS15, School of Economics and Management at the Free University of Bozen.
  114. Weitzel, Utz & Kling, Gerhard, 2012. "Sold below value? Why some targets accept very low and even negative takeover premiums," MPRA Paper 42832, University Library of Munich, Germany.
  115. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
  116. Daouk, Hazem & Lee, Charles M.C. & Ng, David, 2006. "Capital market governance: How do security laws affect market performance?," Journal of Corporate Finance, Elsevier, vol. 12(3), pages 560-593, June.
  117. Sari, Ramazan & Hammoudeh, Shawkat & Chang, Chia-Lin & McAleer, Michael, 2012. "Causality between market liquidity and depth for energy and grains," Energy Economics, Elsevier, vol. 34(5), pages 1683-1692.
  118. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute.
  119. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society.
  120. Brogaard, Jonathan & Engelberg, Joseph & Parsons, Christopher A., 2014. "Networks and productivity: Causal evidence from editor rotations," Journal of Financial Economics, Elsevier, vol. 111(1), pages 251-270.
  121. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  122. Inci, A. Can, 2012. "Insider trading activity, tenure length, and managerial compensation," Global Finance Journal, Elsevier, vol. 23(3), pages 151-166.
  123. Zhang, Wei David, 2004. "Risk aversion, public disclosure, and long-lived information," Economics Letters, Elsevier, vol. 85(3), pages 327-334, December.
  124. Conway, Patrick, 2012. "The exchange rate as nominal anchor: A test for Ukraine," Journal of Comparative Economics, Elsevier, vol. 40(3), pages 438-456.
  125. 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.
  126. Jinqiang Yang & Zhaojun Yang, 2012. "Arbitrage-free interval and dynamic hedging in an illiquid market," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1029-1039, May.
  127. Archishman Chakraborty & Bilge Yilmaz, . "Informed Manipulation," Rodney L. White Center for Financial Research Working Papers 07-00, Wharton School Rodney L. White Center for Financial Research.
  128. Christie-David, Rohan & Chaudhry, Mukesh, 2000. "Currency futures, news releases, and uncertainty resolution," Global Finance Journal, Elsevier, vol. 11(1-2), pages 109-127.
  129. M. Numan Ünlü, 2008. "Expectations of Professionals in The Turkish Stock Market: a Study of a Monthly Reuters Survey," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 22(1+2), pages 1-16.
  130. 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.
  131. Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro, 2012. "Herding effects in order driven markets: The rise and fall of gurus," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 82-96.
  132. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.).
  133. Callahan, Tyrone W., 1998. "The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency"," University of California at Los Angeles, Anderson Graduate School of Management qt79s2w9hx, Anderson Graduate School of Management, UCLA.
  134. Anderson, Ronald C. & Reeb, David M. & Zhang, Yuzhao & Zhao, Wanli, 2013. "The efficacy of regulatory intervention: Evidence from the distribution of informed option trading," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4337-4352.
  135. Hans Degryse & Frank Jong & Jérémie Lefebvre, 2014. "An Empirical Analysis of Legal Insider Trading in The Netherlands," De Economist, Springer, vol. 162(1), pages 71-103, March.
  136. Kabir, Rezaul & Vermaelen, Theo, 1996. "Insider trading restrictions and the stock market: Evidence from the Amsterdam Stock Exchange," European Economic Review, Elsevier, vol. 40(8), pages 1591-1603, November.
  137. Amil Dasgupta & Andrea Prat, 2005. "Reputation and Asset Prices: A Theory of Information Cascades and Systematic Mispricing," Levine's Bibliography 784828000000000368, UCLA Department of Economics.
  138. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  139. Föllmer, Hans & Wu, Ching-Tang & Yor, Marc, 1999. "Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading," Stochastic Processes and their Applications, Elsevier, vol. 84(1), pages 137-164, November.
  140. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
  141. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
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