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Citations for " Long-Lived Private Information and Imperfect Competition"

by Holden, Craig W & Subrahmanyam, Avanidhar

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  1. LOVO, Stefano M. & CALCAGNO, R., 2001. "Market efficiency and Price Formation when Dealers are Asymmetrically Informed," Les Cahiers de Recherche 737, HEC Paris.
  2. Calcagno, R. & Lovo, S.M., 2002. "Market Efficiency and Price Formation When Dealers are Asymmetrically Informed," Discussion Paper 2002-42, Tilburg University, Center for Economic Research.
  3. Dimitri Vayanos, 2001. "Strategic Trading in a Dynamic Noisy Market," Journal of Finance, American Finance Association, vol. 56(1), pages 131-171, 02.
  4. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, 03.
  5. Noldeke, Georg & Troger, Thomas, 2001. "Existence of linear equilibria in the Kyle model with multiple informed traders," Economics Letters, Elsevier, vol. 72(2), pages 159-164, August.
  6. De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif & Simkovic, Michael, 2012. "The effects of ownership and stock liquidity on the timing of repurchase transactions," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1023-1050.
  7. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  8. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
  9. Sara Fisher Ellison & Wallace P. Mullin, 1997. "Gradual Incorporation of Information into Stock Prices: Empirical Strategies," NBER Working Papers 6218, National Bureau of Economic Research, Inc.
  10. Jos Van Bommel & Jay Dahya & Zhihong Shi, 2010. "An empirical investigation of the speed of information aggregation: a study of IPOs," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(1), pages 47-79.
  11. Andrea Buffa & Giovanna Nicodano, 2006. "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks 16, Collegio Carlo Alberto.
  12. Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001. "Cross-listing, Price Discovery and the Informativeness of the Trading Process," Business Economics Working Papers wb014511, Universidad Carlos III, Departamento de Economía de la Empresa.
  13. Goldman, Eitan & Strobl, Günter, 2013. "Large shareholder trading and the complexity of corporate investments," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 106-122.
  14. Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013. "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series 2013/14, Knut Wicksell Centre for Financial Studies, Lund University.
  15. Ramdan Dridi & Laurent Germain, 2000. "Noise and Competition in Strategic Oligopoly," STICERD - Econometrics Paper Series /2000/395, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term information, short-lived derivative securities," Working Papers 994, Queen's University, Department of Economics.
  17. Palomino, F.A., 1997. "Relative Performance Equilibrium in Financial Markets," Discussion Paper 1997-99, Tilburg University, Center for Economic Research.
  18. Jan Pieter Krahnen & Christian Rieck & Erik Theissen, 1999. "Insider Trading and Portfolio Structure in Experimental Asset Markets with a Long Lived Asset," Working Paper Series: Finance and Accounting 1, Department of Finance, Goethe University Frankfurt am Main.
  19. Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May.
  20. Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013. "The liquidity of energy stocks," Energy Economics, Elsevier, vol. 38(C), pages 168-175.
  21. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  22. Daniel Szpiro, 1998. "Informations et vitesse de réaction du marché boursier en continu. Une analyse empirique du marché boursier français," Revue Économique, Programme National Persée, vol. 49(2), pages 487-526.
  23. Lin, Yaling, 2014. "An empirical study on pre-trade transparency and intraday stealth trading," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 26-40.
  24. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
  25. Inagaki, Kazuyuki, 2007. "Testing for volatility spillover between the British pound and the euro," Research in International Business and Finance, Elsevier, vol. 21(2), pages 161-174, June.
  26. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012. "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 209-227.
  27. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
  28. Chris Downing & Frank Zhang, 2002. "Trading activity and price volatility in the municipal bond market," Finance and Economics Discussion Series 2002-39, Board of Governors of the Federal Reserve System (U.S.).
  29. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-.
  30. Acharya, Viral V & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
  31. Wassim Daher & Leonard J. Mirman, 2004. "Market structure and insider trading," Cahiers de la Maison des Sciences Economiques b04025, Université Panthéon-Sorbonne (Paris 1).
  32. Paolo Colla & Antonio Mele, 2008. "Information linkages and correlated trading," LSE Research Online Documents on Economics 24439, London School of Economics and Political Science, LSE Library.
  33. YalçIn, Atakan, 2008. "Gradual information diffusion and contrarian strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 579-604, August.
  34. Tong, Wilson H.S. & Zhang, Shaojun & Zhu, Yanjian, 2013. "Trading on inside information: Evidence from the share-structure reform in China," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1422-1436.
  35. Dev, Pritha, 2013. "Transfer of information by an informed trader," Finance Research Letters, Elsevier, vol. 10(2), pages 58-71.
  36. Wassim Daher & Harun Aydilek & Fida Karam & Asiye Aydilek, 2012. "Insider Trading With Product Differentiation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00676502, HAL.
  37. Thomas Stoeckl, 2013. "Price efficiency and trading behavior in limit order markets with competing insiders," Working Papers 2013-11, Faculty of Economics and Statistics, University of Innsbruck.
  38. Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  39. repec:hal:journl:halshs-00676502 is not listed on IDEAS
  40. Zhou, Deqing, 2013. "Irrational confidence, imperfect and long-lived information," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 383-405.
  41. Krieger, Kevin & Fodor, Andy, 2013. "Price movements and the prevalence of informed traders: The case of line movement in college basketball," Journal of Economics and Business, Elsevier, vol. 68(C), pages 70-82.
  42. Yongchern Su & Weiling Tseng & Peiwen Chen, 2009. "Intraday return and order imbalance relation in NASDAQ speculative new highs," Applied Economics Letters, Taylor & Francis Journals, vol. 16(8), pages 863-869.
  43. Chakraborty, Archishman & Yilmaz, Bilge, 2004. "Informed manipulation," Journal of Economic Theory, Elsevier, vol. 114(1), pages 132-152, January.
  44. Christina E. Bannier, 2003. "Privacy or Publicity - Who Drives the Wheel?," Game Theory and Information 0309006, EconWPA.
  45. Rossi, S & Tinn, K, 2013. "Man or Machine? Rational trading without information about fundamentals," Working Papers 12194, Imperial College, London, Imperial College Business School.
  46. Hun Y. Park & Asani Sarkar & Lifan Wu, 1998. "Do Brokers Misallocate Customer Trades? Evidence From Futures Markets," Finance 9801002, EconWPA.
  47. Holden, Craig W. & Subrahmanyam, Avanidhar, 1994. "Risk aversion, imperfect competition, and long-lived information," Economics Letters, Elsevier, vol. 44(1-2), pages 181-190.
  48. Muendler, Marc-Andreas, 2008. "Risk-neutral investors do not acquire information," Finance Research Letters, Elsevier, vol. 5(3), pages 156-161, September.
  49. Sugato Chakravarty & Asani Sarkar, 1998. "An analysis of brokers' trading with applications to order flow internalization and off-exchange sales," Research Paper 9813, Federal Reserve Bank of New York.
  50. Archishman Chakraborty & Bilge Yilmaz, . "Nested Information and Manipulation in Financial Markets," Rodney L. White Center for Financial Research Working Papers 6-00, Wharton School Rodney L. White Center for Financial Research.
  51. Wassim Daher & Leonard J. Mirman, 2004. "Cournot duopoly and insider trading with two insiders," Cahiers de la Maison des Sciences Economiques b04077, Université Panthéon-Sorbonne (Paris 1).
  52. Jhinyoung Shin & Rajdeep Singh, 2010. "Corporate Disclosures: Strategic Donation of Information-super-," International Review of Finance, International Review of Finance Ltd., vol. 10(3), pages 313-337.
  53. Thomas Stöckl, 2014. "Price efficiency and trading behavior in limit order markets with competing insiders," Experimental Economics, Springer, vol. 17(2), pages 314-334, June.
  54. Dan Bernhardt & Jianjun Miao, 2004. "Informed Trading When Information Becomes Stale," Journal of Finance, American Finance Association, vol. 59(1), pages 339-390, 02.
  55. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  56. Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," SSE/EFI Working Paper Series in Economics and Finance 189, Stockholm School of Economics.
  57. Alex Edmans & Gustavo Manso, 2011. "Governance Through Trading and Intervention: A Theory of Multiple Blockholders," Review of Financial Studies, Society for Financial Studies, vol. 24(7), pages 2395-2428.
  58. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
  59. Dridi, Ramdan & Germain, Laurent, 2004. "Bullish/Bearish Strategies of Trading: A Nonlinear Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 873-886, December.
  60. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, School of Economics and Management, University of Aarhus.
  61. Peter Koudijs, 2013. "'Those Who Know Most': Insider Trading in 18th c. Amsterdam," NBER Working Papers 18845, National Bureau of Economic Research, Inc.
  62. Foster, F Douglas & Viswanathan, S, 1996. " Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-78, September.
  63. repec:ner:tilbur:urn:nbn:nl:ui:12-5663709 is not listed on IDEAS
  64. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
  65. Callahan, Tyrone W., 1998. "The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency"," University of California at Los Angeles, Anderson Graduate School of Management qt79s2w9hx, Anderson Graduate School of Management, UCLA.
  66. Ebihara, Takashi & Kubota, Keiichi & Takehara, Hitoshi & Yokota, Eri, 2014. "Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan," Japan and the World Economy, Elsevier, vol. 32(C), pages 1-13.
  67. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  68. P.J. Engelen & Luc van Liedekerke, 2006. "An ethical analysis of regulating insider trading," Working Papers 06-05, Utrecht School of Economics.
  69. Wu, Chunchi & Xu, Xiaoqing Eleanor, 2000. " Return Volatility, Trading Imbalance and the Information Content of Volume," Review of Quantitative Finance and Accounting, Springer, vol. 14(2), pages 131-53, March.
  70. David Walsh, 1999. "Uncertain information release and informed trading," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 21-30.
  71. Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2014. "Strategic Trading in Informationally Complex Environments," NBER Working Papers 20516, National Bureau of Economic Research, Inc.
  72. Oehmke, Martin, 2014. "Liquidating illiquid collateral," Journal of Economic Theory, Elsevier, vol. 149(C), pages 183-210.
  73. Giovanni Cespa, 2008. "Information Sales and Insider Trading with Long-Lived Information," Journal of Finance, American Finance Association, vol. 63(2), pages 639-672, 04.
  74. Holden, C.W., 1991. "Risk Aversion, Imperfect Competition,, and Long-Lived Information," Papers fb-_91-06, Columbia - Graduate School of Business.
  75. Werner Stanzl & Gur Huberman, 2000. "Arbitrage-Free Price-Update and Price-Impact Functions," Yale School of Management Working Papers ysm164, Yale School of Management, revised 01 Jan 2001.
  76. Carole Comerton-Forde & Michael A. O'Brien & P. Joakim Westerholm, 2007. "An Empirical Analysis of Strategic Behaviour Models," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 181-203, December.
  77. repec:hal:journl:halshs-00653971 is not listed on IDEAS
  78. Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
  79. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 499-518, December.
  80. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc.
  81. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2002. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 655-689, March.
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