Report NEP-MST-2007-12-01

This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.

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Other reports in NEP-MST

The following items were announced in this report:

• Claudio Henrique da Silveira Barbedo & Eduardo Facó Lemgruber, 2007. "The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options," Working Papers Series 144, Central Bank of Brazil, Research Department.
• Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2007. "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports 307, Federal Reserve Bank of New York.
• Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
• Philip Bond & Hulya Eraslan, 2007. "Information-based trade," Levine's Bibliography 122247000000001689, UCLA Department of Economics.
• Thanh Huong Dinh & Jean-François Gajewski, 2007. "An experimental study of trading volume and divergence of expectations in relation to earnings announcement," CIRANO Working Papers 2007s-24, CIRANO.
• Albuquerque, Rui & Miao, Jianjun, 2007. "Advance Information and Asset Prices," CEPR Discussion Papers 6588, C.E.P.R. Discussion Papers.