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Market efficiency in real time

  • Busse, Jeffrey A.
  • Clifton Green, T.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-46H221N-4/2/e4c29b1914e59fa5273c7b7bc52fcbbb
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 65 (2002)
    Issue (Month): 3 (September)
    Pages: 415-437

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    Handle: RePEc:eee:jfinec:v:65:y:2002:i:3:p:415-437
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    2. 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.
    3. Lloyd-Davies, Peter & Canes, Michael, 1978. "Stock Prices and the Publication of Second-Hand Information," The Journal of Business, University of Chicago Press, vol. 51(1), pages 43-56, January.
    4. Dann, Larry Y. & Mayers, David & Raab, Robert Jr., 1977. "Trading rules, large blocks and the speed of price adjustment," Journal of Financial Economics, Elsevier, vol. 4(1), pages 3-22, January.
    5. Stickel, Scott E., 1985. "The effect of value line investment survey rank changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 14(1), pages 121-143, March.
    6. Brad Barber, 2001. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns," Journal of Finance, American Finance Association, vol. 56(2), pages 531-563, 04.
    7. Kim, Sok Tae & Lin, Ji-Chai & Slovin, Myron B., 1997. "Market Structure, Informed Trading, and Analysts' Recommendations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 507-524, December.
    8. Ellis, Katrina & Michaely, Roni & O'Hara, Maureen, 2000. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 529-551, December.
    9. Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, 04.
    10. Harris, Jeffrey H. & Schultz, Paul H., 1998. "The trading profits of SOES bandits," Journal of Financial Economics, Elsevier, vol. 50(1), pages 39-62, October.
    11. Amir, E. & Lev, B. & Sougiannis, T., 1999. "What Value Analysts?," Papers 99-12, Columbia - Graduate School of Business.
    12. Stickel, Scott E, 1992. " Reputation and Performance among Security Analysts," Journal of Finance, American Finance Association, vol. 47(5), pages 1811-36, December.
    13. Beneish, Messod D, 1991. "Stock Prices and the Dissemination of Analysts' Recommendations," The Journal of Business, University of Chicago Press, vol. 64(3), pages 393-416, July.
    14. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
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