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The Distribution Of Reversals And Continuations And Tests For Intraday Market Efficiency

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  • Thomas F. Gosnell

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  • Thomas F. Gosnell, 1995. "The Distribution Of Reversals And Continuations And Tests For Intraday Market Efficiency," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(2), pages 225-243, March.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:2:p:225-243
    DOI: 10.1111/j.1468-5957.1995.tb00680.x
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    References listed on IDEAS

    as
    1. Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
    2. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-595.
    3. Jennings, Robert & Starks, Laura, 1986. "Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets," Journal of Finance, American Finance Association, vol. 41(1), pages 107-125, March.
    4. Brennan, Michael J & Hughes, Patricia J, 1991. "Stock Prices and the Supply of Information," Journal of Finance, American Finance Association, vol. 46(5), pages 1665-1691, December.
    5. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    6. Smidt, Seymour, 1979. "Continuous Versus Intermittent Trading on Auction Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(4), pages 837-866, November.
    7. Jennings, R & Starks, L, 1985. "Information-Content And The Speed Of Stock-Price Adjustment," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 23(1), pages 336-350.
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