Determinants of Daily Fluctuations in Liquidity and Trading Activity
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Volume (Year): 40 (2003)
Issue (Month): 121 ()
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- Ho, Thomas & Stoll, Hans R., 1981.
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- Thomas Ho & Hans Stoll, . "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993.
"Contrarian Investment, Extrapolation, and Risk,"
NBER Working Papers
4360, National Bureau of Economic Research, Inc.
- Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1993. "Contrarian Investment, Extrapolation, and Risk," University of Chicago - George G. Stigler Center for Study of Economy and State 84, Chicago - Center for Study of Economy and State.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
- Paul Draper & Krishna Paudyal, 1997. "Microstructure and Seasonality in the UK Equity Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(7&8), pages 1177-1204.
- Lakonishok, Josef & Maberly, Edwin, 1990. " The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, American Finance Association, vol. 45(1), pages 231-43, March.
- 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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