Volatility, autocorrelations, and trading activity after stock splits
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- Kryzanowski, Lawrence & Zhang, Hao, 1996. "Trading Patterns of Small and Large Traders around Stock Split Ex-dates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(1), pages 75-90, Spring.
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- Anand S. Desai & M. Nimalendran & S. Venkataraman, 1998. "Changes In Trading Activity Following Stock Splits And Their Effect On Volatility And The Adverse-Information Component Of The Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 159-183, 06.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
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- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
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- Copeland, Thomas E, 1979. "Liquidity Changes Following Stock Splits," Journal of Finance, American Finance Association, vol. 34(1), pages 115-41, March.
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