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Time-varying informed and uninformed trading activities

  • Lei, Qin
  • Wu, Guojun

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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 8 (2005)
Issue (Month): 2 (May)
Pages: 153-181

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Handle: RePEc:eee:finmar:v:8:y:2005:i:2:p:153-181
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  22. Back, Kerry & Pedersen, Hal, 1998. "Long-lived information and intraday patterns," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 385-402, September.
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  27. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
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  34. 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.
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  38. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 1-28, February.
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