False News, Informational Efficiency, and Price Reversals
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- Jjrrme Dugast & Thierry Foucault, 2014. "False News, Informational Efficiency, and Price Reversals," Working Papers hal-02058260, HAL.
- FOUCAULT, Thierry & DUGAST, Jérôme, 2014. "False News, Informational Efficiency, and Price Reversals," HEC Research Papers Series 1036, HEC Paris.
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Cited by:
- Bizzozero, Paolo & Flepp, Raphael & Franck, Egon, 2018. "The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange," Journal of Economic Behavior & Organization, Elsevier, vol. 156(C), pages 126-143.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, New Economic School (NES).
- Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
- Keim, Donald B & Massa, Massimo & von Beschwitz, Bastian, 2015. "First to “Read” the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
- Zachary S Levine & Scott A Hale & Luciano Floridi, 2017. "The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-14, November.
- Albert S Kyle & Anna A Obizhaeva & Yajun Wang, 2018.
"Smooth Trading with Overconfidence and Market Power,"
Review of Economic Studies, Oxford University Press, vol. 85(1), pages 611-662.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Smooth Trading with Overconfidence and Market Power," Working Papers w0226, Center for Economic and Financial Research (CEFIR).
- Jean-Edouard Colliard, 2017. "Catching Falling Knives: Speculating on Liquidity Shocks," Management Science, INFORMS, vol. 63(8), pages 2573-2591, August.
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More about this item
Keywords
news; high-frequency trading; price reversals; informational efficiency; mini-flash crashes.;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CTA-2014-11-07 (Contract Theory & Applications)
- NEP-MST-2014-11-07 (Market Microstructure)
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