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Recent trends in trading activity and market quality

Citations

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Cited by:

  1. Alasdair Brown & Fuyu Yang, 2017. "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," Review of Finance, European Finance Association, vol. 21(2), pages 583-603.
  2. Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
  3. Chan, Yue-Cheong, 2014. "How does retail sentiment affect IPO returns? Evidence from the internet bubble period," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 235-248.
  4. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
  5. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
  6. Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.
  7. Giovanni Ferri & Matteo Ploner & Matteo Rizzolli, 2016. "Count To Ten Before Trading: Evidence On The Role Of Deliberation In Experimental Financial Markets," CERBE Working Papers wpC07, CERBE Center for Relationship Banking and Economics.
  8. Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2019. "Investor sophistication and capital income inequality," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 18-31.
  9. Omid Sabbaghi & Navid Sabbaghi, 2017. "The Chicago Climate Exchange and market efficiency: an empirical analysis," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 19(4), pages 711-734, October.
  10. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  11. 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.
  12. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  13. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
  14. 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.
  15. 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.
  16. 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.
  17. Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018. "Market intraday momentum," Journal of Financial Economics, Elsevier, vol. 129(2), pages 394-414.
  18. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  19. Xu, Liao & Yin, Xiangkang, 2017. "Does ETF trading affect the efficiency of the underlying index?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 82-101.
  20. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  21. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
  22. Rösch, Dominik M. & Subrahmanyam, Avanidhar & van Dijk, Mathijs A., 2022. "Investor short-termism and real investment," Journal of Financial Markets, Elsevier, vol. 59(PB).
  23. Dan Li & Geng Li, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
  24. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2020. "Does proprietary day trading provide liquidity at a cost to investors?," International Review of Financial Analysis, Elsevier, vol. 68(C).
  25. Azi Ben-Rephael & Ryan D Israelsen, 2018. "Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs [An analysis of trade-size clustering and its relation to stealth trading]," Review of Finance, European Finance Association, vol. 22(5), pages 1705-1736.
  26. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
  27. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
  28. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  29. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the benefits of active stock selection strategies for diversified investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 342-354.
  30. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
  31. Anne Jones Dorn & Daniel Dorn & Paul Sengmueller, 2015. "Trading as Gambling," Management Science, INFORMS, vol. 61(10), pages 2376-2393, October.
  32. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
  33. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  34. Pablo Solórzano-Taborga & Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Data Envelopment Analysis and Multifactor Asset Pricing Models," IJFS, MDPI, vol. 8(2), pages 1-18, April.
  35. Elliott, William B. & Songur, Hilmi, 2016. "The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings," Finance Research Letters, Elsevier, vol. 19(C), pages 165-172.
  36. Edward Lee & Norman Strong & Zhenmei (Judy) Zhu, 2014. "Did Regulation Fair Disclosure, SOX, and Other Analyst Regulations Reduce Security Mispricing?," Journal of Accounting Research, Wiley Blackwell, vol. 52(3), pages 733-774, June.
  37. Vortelinos, Dimitrios I., 2016. "Incremental information of stock indicators," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 79-97.
  38. Jon Kerr & Gil Sadka & Ronnie Sadka, 2020. "Illiquidity and Price Informativeness," Management Science, INFORMS, vol. 66(1), pages 334-351, January.
  39. 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.
  40. Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
  41. Martin Rohleder & Dominik Schulte & Janik Syryca & Marco Wilkens, 2018. "Mutual Fund Stock†Picking Skill: New Evidence from Valuation†versus Liquidity†Motivated Trading," Financial Management, Financial Management Association International, vol. 47(2), pages 309-347, June.
  42. Noss, Joseph & Pedace, Lucas & Tobek, Ondrej & Linton, Oliver & Crowley-Reidy, Liam, 2017. "The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets," Bank of England working papers 687, Bank of England.
  43. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  44. Ľuboš Pástor & Robert F. Stambaugh & Lucian A. Taylor, 2017. "Do Funds Make More When They Trade More?," Journal of Finance, American Finance Association, vol. 72(4), pages 1483-1528, August.
  45. Xu, Liao & Pu, Wenyan, 2022. "ETFs, arbitrage activity, and stock market efficiency: Evidence from Chinese CSI 300 ETFs," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 1-9.
  46. 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.
  47. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
  48. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
  49. 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.
  50. Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
  51. 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.
  52. 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.
  53. Mudalige, Priyantha & Duong, Huu Nhan & Kalev, Petko S. & Gupta, Kartick, 2020. "Who trades in competing firms around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  54. Ma, Yao & Yang, Baochen & Li, Jinyong & Shen, Yue, 2023. "Trend information and cross-sectional returns: The role of analysts," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  55. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
  56. 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).
  57. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
  58. 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.
  59. Fangjian Fu & Sheng Huang, 2016. "The Persistence of Long-Run Abnormal Returns Following Stock Repurchases and Offerings," Management Science, INFORMS, vol. 62(4), pages 964-984, April.
  60. Bouchra Benzennou & Owain ap Gwilym & Gwion Williams, 2018. "Are single stock futures used as an alternative during a short‐selling ban?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 66-82, January.
  61. Joel Peress, 2014. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," Journal of Finance, American Finance Association, vol. 69(5), pages 2007-2043, October.
  62. Weissensteiner, Alex, 2019. "Correlated noise: Why passive investment might improve market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 158-172.
  63. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
  64. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  65. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  66. Szymon Stereńczak, 2021. "Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 545-576.
  67. Ma, Yao & Yang, Baochen & Su, Yunpeng, 2021. "Stock return predictability: Evidence from moving averages of trading volume," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  68. 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.
  69. Han, Bing & Tang, Ya & Yang, Liyan, 2016. "Public information and uninformed trading: Implications for market liquidity and price efficiency," Journal of Economic Theory, Elsevier, vol. 163(C), pages 604-643.
  70. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  71. Ma, Rui & Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2022. "Climate events and return comovement," Journal of Financial Markets, Elsevier, vol. 61(C).
  72. Altınkılıç, Oya & Hansen, Robert S. & Ye, Liyu, 2016. "Can analysts pick stocks for the long-run?," Journal of Financial Economics, Elsevier, vol. 119(2), pages 371-398.
  73. 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.
  74. Chung, Chune Young & DeVault, Luke & Wang, Kainan, 2019. "Perceived information, short interest, and institutional demand," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 22-38.
  75. Szymon Stereńczak, 2020. "State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange," IJFS, MDPI, vol. 8(1), pages 1-24, March.
  76. Bianchi, Daniele & Babiak, Mykola, 2022. "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, vol. 138(C).
  77. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
  78. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  79. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers 13/15, Institute for Fiscal Studies.
  80. Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  81. Friederich, Sylvain & Payne, Richard, 2014. "Trading anonymity and order anticipation," Journal of Financial Markets, Elsevier, vol. 21(C), pages 1-24.
  82. Mike Qinghao Mao & K. C. John Wei, 2016. "Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns," Management Science, INFORMS, vol. 62(9), pages 2504-2519, September.
  83. Moshirian, Fariborz & Qian, Xiaolin & Wee, Claudia Koon Ghee & Zhang, Bohui, 2017. "The determinants and pricing of liquidity commonality around the world," Journal of Financial Markets, Elsevier, vol. 33(C), pages 22-41.
  84. Guillaume, F., 2015. "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 214-231.
  85. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  86. Xi Dong & Shu Feng & Ronnie Sadka, 2019. "Liquidity Risk and Mutual Fund Performance," Management Science, INFORMS, vol. 65(3), pages 1020-1041, March.
  87. Zaremba, Adam & Karathanasopoulos, Andreas & Maydybura, Alina & Czapkiewicz, Anna & Bagheri, Noushin, 2020. "Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  88. Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
  89. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  90. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
  91. Yang, Lisa (Zongfei) & Goh, Jeremy & Chiyachantana, Chiraphol, 2016. "Valuation uncertainty, market sentiment and the informativeness of institutional trades," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 81-98.
  92. Javier Rojo‐Suárez & Ana Belén Alonso‐Conde & Ricardo Ferrero‐Pozo, 2022. "Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 45-60, January.
  93. 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.
  94. 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.
  95. 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).
  96. Zhou, Shengjie & Ye, Qing, 2023. "Margin trading and spillover effects: Evidence from the Chinese stock markets," Emerging Markets Review, Elsevier, vol. 54(C).
  97. Frei, Fanny & Loder, Allister & Bening, Catharina R., 2018. "Liquidity in green power markets – An international review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 93(C), pages 674-690.
  98. Alexis Cellier & Pierre Chollet & Souad Lajili Jarjir, 2013. "New empirical evidence on market reactions to changes in Socially Responsible Investment indexes," Post-Print hal-01367120, HAL.
  99. 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.
  100. Huck, Nicolas, 2019. "Large data sets and machine learning: Applications to statistical arbitrage," European Journal of Operational Research, Elsevier, vol. 278(1), pages 330-342.
  101. DeVault, Luke & Turtle, H.J. & Wang, Kainan, 2021. "Blessing or curse? Institutional investment in leveraged ETFs," Journal of Banking & Finance, Elsevier, vol. 129(C).
  102. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
  103. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
  104. Tse, Yiuman, 2015. "Momentum strategies with stock index exchange-traded funds," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 134-148.
  105. DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016. "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 118-136.
  106. Karen Kunz & Jena Martin, 2015. "Into the Breech: The Increasing Gap between Algorithmic Trading and Securities Regulation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 135-152, February.
  107. Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.
  108. 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).
  109. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
  110. Cook, Douglas O. & Luo, Shikong (Scott), 2023. "Fund flow-induced volatility and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 146(C).
  111. Chang, Hsiu-yun & Liang, Woan-lih & Wang, Yanzhi, 2019. "Do institutional investors still encourage patent-based innovation after the tech bubble period?," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 149-164.
  112. Yinfei Chen & Wei Huang & George J. Jiang, 2022. "Do short‐term institutions exploit stock return anomalies?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 69-94, February.
  113. Christopher Hrdlicka, 2022. "Trading Volume and Time Varying Betas [Alpha or beta in the eye of the beholder: what drives hedge fund flows?]," Review of Finance, European Finance Association, vol. 26(1), pages 79-116.
  114. Shahzad, Hassan & Duong, Huu Nhan & Kalev, Petko S. & Singh, Harminder, 2014. "Trading volume, realized volatility and jumps in the Australian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 414-430.
  115. Dan Li & Geng Li, 2021. "Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume [Belief dispersion in the stock market]," Review of Finance, European Finance Association, vol. 25(6), pages 1859-1900.
  116. Hao, Ying & Chou, Robin K. & Ho, Keng-Yu & Weng, Pei-Shih, 2015. "The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 24-42.
  117. Dambra, Michael & Gustafson, Matthew T. & Pisciotta, Kevin, 2021. "What is the effect of an additional dollar of IPO proceeds?," Journal of Corporate Finance, Elsevier, vol. 66(C).
  118. Han‐Sheng Chen & Sanjiv Sabherwal, 2019. "Overconfidence among option traders," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 61-91, January.
  119. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
  120. Kristina Minnick & Kartik Raman, 2014. "Why are Stock Splits Declining?," Financial Management, Financial Management Association International, vol. 43(1), pages 29-60, March.
  121. Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018. "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 153-166.
  122. 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.
  123. Ming‐Yu Liu, 2019. "Improving momentum strategies using residual returns and option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 499-521, April.
  124. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
  125. Hur, Jungshik & Singh, Vivek, 2019. "How do disposition effect and anchoring bias interact to impact momentum in stock returns?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 238-256.
  126. Thanh Huong Nguyen, 2019. "Information and Noise in Stock Markets: Evidence on the Determinants and Effects Using New Empirical Measures," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 7-2019.
  127. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
  128. Laíse Ferraz Correia & Hudson Fernandes Amaral, 2014. "Determinants of Market Liquidity of Shares Traded on the BM&FBOVESPA," Brazilian Business Review, Fucape Business School, vol. 11(6), pages 75-97, December.
  129. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
  130. Das, Sougata & Kadapakkam, Palani-Rajan, 2020. "Machine over Mind? Stock price clustering in the era of algorithmic trading," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  131. Ferri, Giovanni & Ploner, Matteo & Rizzolli, Matteo, 2021. "Trading fast and slow: The role of deliberation in experimental financial markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
  132. Kang, Wenjin & Li, Nan & Zhang, Huiping, 2019. "Information uncertainty and the pricing of liquidity," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 77-96.
  133. French, Jordan, 2017. "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 124-148.
  134. Weng, Pei-Shih & Tsai, Wei-Che, 2018. "Do foreign institutional traders have private information for the market index? The aspect of market microstructure," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 308-323.
  135. Cho, Thummim, 2020. "Turning alphas into betas: Arbitrage and endogenous risk," Journal of Financial Economics, Elsevier, vol. 137(2), pages 550-570.
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