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Is Information Risk a Determinant of Asset Returns?

Citations

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Cited by:

  1. Bossaerts, Peter & Suzuki, Shinsuke & O’Doherty, John P., 2019. "Perception of intentionality in investor attitudes towards financial risks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 189-197.
  2. David Abad & Roberto Pascual, 2007. "Switching to a temporary call auction in times of high uncertainty," CNMV Working Papers CNMV Working Papers no. 1, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  3. Xu, Shen & Yin, Bichao & Lou, Chunjie, 2022. "Minority shareholder activism and corporate social responsibility," Economic Modelling, Elsevier, vol. 116(C).
  4. Gaoshan Wang & Yue Wang & Yilin Dong & Xiaohong Shen, 2025. "Media Attention for Carbon Neutrality, Investor Sentiment, and Excess Stock Returns: Evidence from Mass Media and Social Media," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 2413-2437, September.
  5. Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
  6. Chun Yu Mak & Norman Strong & Martin Walker, 2011. "Conditional Earnings Conservatism and Corporate Refocusing Activities," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 49(4), pages 1041-1082, September.
  7. Kenas Revanda Hartian & Romora Edward Sitorus, 2015. "Liquidity and Returns: Evidences from Stock Indexes around the World," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(1), pages 33-45, January.
  8. Manuel Ammann & Philipp Horsch & David Oesch, 2016. "Competing with Superstars," Management Science, INFORMS, vol. 62(10), pages 2842-2858, October.
  9. Anginer, Deniz, 2010. "Liquidity clienteles : transaction costs and investment decisions of individual investors," Policy Research Working Paper Series 5318, The World Bank.
  10. Dafydd Mali & Hyoung-Joo Lim, 2022. "Does relative (absolute) efficiency affect capital costs?," Annals of Operations Research, Springer, vol. 315(2), pages 1037-1060, August.
  11. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  12. Keiichi Kubota & Hitoshi Takehara, 2016. "Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 127-159, March.
  13. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
  14. Landschoot, Astrid Van, 2008. "Determinants of yield spread dynamics: Euro versus US dollar corporate bonds," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2597-2605, December.
  15. Terry Shevlin, 2013. "Some personal observations on the debate on the link between financial reporting quality and the cost of equity capital," Australian Journal of Management, Australian School of Business, vol. 38(3), pages 447-473, December.
  16. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
  17. Zhihong Chen & Dan S. Dhaliwal & Hong Xie, 2010. "Regulation fair disclosure and the cost of equity capital," Review of Accounting Studies, Springer, vol. 15(1), pages 106-144, March.
  18. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  19. Mohanram, Partha & Rajgopal, Shiva, 2009. "Is PIN priced risk?," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 226-243, June.
  20. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
  21. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  22. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
  23. Juan Raposo & Fabrice Riva & Francisco Sogorb & Jos van Bommel, 2011. "Estimating the Proportion of Informed Trade in Call Auctions," Working Papers halshs-00696342, HAL.
  24. Kee Chung & Jangkoo Kang & Joon-Seok Kim, 2011. "Tick size, market structure, and market quality," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 57-81, January.
  25. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
  26. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
  27. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
  28. Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
  29. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  30. Thusitha Mahipala & Howard Chan & Robert Faff, 2009. "Trading volume and information asymmetry: routine versus nonroutine earnings announcements in Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1737-1752.
  31. 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.
  32. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
  33. Craig W. Holden & Pamela S. Stuerke, 2008. "The Frequency of Financial Analysts' Forecast Revisions: Theory and Evidence about Determinants of Demand for Predisclosure Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 860-888, September.
  34. Steven J. Huddart & Bin Ke, 2007. "Information Asymmetry and Cross†sectional Variation in Insider Trading," Contemporary Accounting Research, John Wiley & Sons, vol. 24(1), pages 195-232, March.
  35. Rapheedah Musneh & Mohd. Rahimie Abdul Karim & Caroline Geetha A/P Arokiadasan Baburaw, 2021. "Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
  36. Eugster, Florian & Wagner, Alexander F., 2020. "Value reporting and firm performance," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 40(C).
  37. Thierry Foucault & Laurent Fresard, 2019. "Corporate Strategy, Conformism, and the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 32(3), pages 905-950.
  38. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  39. William N. Goetzmann & Ning Zhu, 2005. "Rain or Shine: Where is the Weather Effect?," European Financial Management, European Financial Management Association, vol. 11(5), pages 559-578, November.
  40. Cameron Truong, 2013. "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 31-48, April.
  41. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
  42. Colin Beardsley & John R. O'Brien, 2004. "The Effectiveness of Britain's Financial Service Authority: An Economic Analysis," ICMA Centre Discussion Papers in Finance icma-dp2004-11, Henley Business School, University of Reading.
  43. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
  44. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Norwegian School of Economics, Department of Business and Management Science, revised 21 Jun 2007.
  45. Yangyang Chen & Rui Ge & Henock Louis & Leon Zolotoy, 2019. "Stock liquidity and corporate tax avoidance," Review of Accounting Studies, Springer, vol. 24(1), pages 309-340, March.
  46. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009. "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 54-86, February.
  47. Li Eng & Joohyung Ha & Sandeep Nabar, 2014. "The impact of regulation FD on the information environment: evidence from the stock market response to stock split announcements," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 829-853, November.
  48. Bin Li & Mohan Venkatachalam, 2025. "The value of equal access to mandatory disclosure: evidence from the Great Postal Strike of 1970," Review of Accounting Studies, Springer, vol. 30(2), pages 1397-1431, June.
  49. Jin, Hyun Joung & Kim, Jang-Chul & Su, Qing, 2025. "Economic freedom and market resilience: Safeguarding liquidity in times of crisis," Journal of Multinational Financial Management, Elsevier, vol. 79(C).
  50. Fargher, Neil & Wee, Marvin, 2019. "The impact of Ball and Brown (1968) on generations of research," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 55-72.
  51. Attig, Najah & El Ghoul, Sadok, 2021. "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, vol. 71(C).
  52. Gordon, Narelle & Watts, Edward & Wu, Qiongbing, 2014. "Information attributes, information asymmetry and industry sector returns," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 156-175.
  53. Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
  54. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
  55. Asif Ali & Habib Ur Rahman & Adam Arian & John Sands, 2023. "Flight-to-Liquidity and Excess Stock Return: Empirical Evidence from a Dynamic Panel Model," JRFM, MDPI, vol. 16(12), pages 1-16, December.
  56. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
  57. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  58. Md Hamid Uddin & Sarkar H. Kabir & Mohammad Kabir Hassan & Mohammed S. Hossain & Jia Liu, 2022. "Why do sukuks (Islamic bonds) need a different pricing model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2210-2234, April.
  59. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  60. Ersan, Oguz & Alıcı, Aslı, 2016. "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 74-94.
  61. Khan, Mozaffar & Watts, Ross L., 2009. "Estimation and empirical properties of a firm-year measure of accounting conservatism," Journal of Accounting and Economics, Elsevier, vol. 48(2-3), pages 132-150, December.
  62. Rajgopal, Shiva & Venkatachalam, Mohan, 2011. "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, vol. 51(1), pages 1-20.
  63. Garen Markarian & Juan Santalo´, 2014. "Product Market Competition, Information and Earnings Management," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 572-599, June.
  64. Aslan, Hadiye & Easley, David & Hvidkjaer, Soeren & O'Hara, Maureen, 2011. "The characteristics of informed trading: Implications for asset pricing," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 782-801.
  65. Emily Lin & Chu-Lan Michael Kao & Natasha Sonia Adityarini, 2021. "Data-driven tree structure for PIN models," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 411-427, August.
  66. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 87(2), pages 418-445, February.
  67. Armstrong, Christopher S. & Balakrishnan, Karthik & Cohen, Daniel, 2012. "Corporate governance and the information environment: Evidence from state antitakeover laws," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 185-204.
  68. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
  69. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  70. Ana González & Gonzalo Rubio, 2007. "Portfolio choice and the effects of liquidity," Economics Working Papers 1035, Department of Economics and Business, Universitat Pompeu Fabra.
  71. Alexandre Ripamonti, 2019. "Capital Structure Adjustments and Asymmetric Information," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 1-1, December.
  72. Sankaraguruswamy, Srinivasan & Shen, Jianfeng & Yamada, Takeshi, 2013. "The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4134-4143.
  73. Gilles Hilary, 2006. "Organized labor and information asymmetry in the financial markets," Review of Accounting Studies, Springer, vol. 11(4), pages 525-548, December.
  74. Peress, Joël & Schmidt, Daniel, 2024. "Uncertainty about what is in the price," Journal of Financial Economics, Elsevier, vol. 161(C).
  75. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014. "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, vol. 69(5), pages 2279-2337, October.
  76. Steve Fan, 2013. "Corporate Governance and Information Content of Stock Trades: Evidence from S&P 100 Companies," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(3), pages 41-56.
  77. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
  78. Bo Li & Qian Sun & Changyun Wang, 2014. "Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan," European Financial Management, European Financial Management Association, vol. 20(1), pages 126-151, January.
  79. Zhang, Teng & Xu, Zhiwei, 2023. "The informational feedback effect of stock prices on corporate investments: A comparison of new energy firms and traditional energy firms in China," Energy Economics, Elsevier, vol. 127(PA).
  80. Emrah Ismail Cevik & Samet Gunay & Mehmet Fatih Bugan & Sel Dibooglu, 2025. "The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data," Annals of Operations Research, Springer, vol. 352(3), pages 389-413, September.
  81. Dayana Mastura Baharudin & Maran Marimuthu, 2020. "The Senior Independent Director’s Evolving Role Across the Top 100 Malaysian PLCs: MCCG 2012 vs MCCG 2017," Business Management and Strategy, Macrothink Institute, vol. 11(2), pages 79-93, December.
  82. Custódio, Cláudia & Ferreira, Miguel A. & Laureano, Luís, 2013. "Why are US firms using more short-term debt?," Journal of Financial Economics, Elsevier, vol. 108(1), pages 182-212.
  83. Ibrahim M. Menshawy & Rohaida Basiruddin & Nor‐Aiza Mohd‐Zamil & Khaled Hussainey, 2023. "Strive towards investment efficiency among Egyptian companies: Do board characteristics and information asymmetry matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2382-2403, July.
  84. Othman Gaga & Karam Said & Nasredine Fathelkhir, 2025. "Strengthening the Corporate Governance System through Financial Reporting Quality: Evidence from Accounting Conservatism in an Emerging Market," Post-Print hal-05083845, HAL.
  85. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank.
  86. Frank O. Kwabi & Agyenim Boateng, 2021. "The effect of insider trading laws and enforcement on stock market transaction cost," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 939-964, April.
  87. Yanyi Ye & Yun Wang & Xiaoguang Yang, 2022. "Bank loan information and information asymmetry in the stock market: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-28, December.
  88. Jian Wang & Luyuan Wang & Hongrui Feng & Jun Zhang, 2025. "Politically connected CEOs and liquidity risk: some Chinese evidence," Review of Quantitative Finance and Accounting, Springer, vol. 64(4), pages 1671-1718, May.
  89. Hoshik Shim, 2020. "Disclosure Frequency, Information Environment, and Cost of Capital under Regulation Fair Disclosure in the Korean Market," Sustainability, MDPI, vol. 12(14), pages 1-28, July.
  90. Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
  91. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
  92. Anne Michaels & Michael Grüning, 2017. "Relationship of corporate social responsibility disclosure on information asymmetry and the cost of capital," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 28(3), pages 251-274, October.
  93. Haehean Park & Baeho Kim & Hyeongsop Shim, 2019. "A smiling bear in the equity options market and the cross‐section of stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1360-1382, November.
  94. Bennett, Benjamin & Stulz, René & Wang, Zexi, 2020. "Does the stock market make firms more productive?," Journal of Financial Economics, Elsevier, vol. 136(2), pages 281-306.
  95. Xu, Liao & Gao, Han & Shi, Yukun & Zhao, Yang, 2020. "The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 400-408.
  96. Tao Chen & Andreas Karathanasopoulos, 2022. "Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?," Abacus, Accounting Foundation, University of Sydney, vol. 58(4), pages 714-741, December.
  97. Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008. "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers E2008/12, Cardiff University, Cardiff Business School, Economics Section.
  98. Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007. "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, vol. 10(1), pages 26-47, February.
  99. Martínez, Miguel Ángel & Nieto, Belén & Rubio, Gonzalo & Tapia, Mikel, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DEE - Working Papers. Business Economics. WB wb026022, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  100. Fang Cai & Song Han & Dan Li, 2012. "Institutional herding in the corporate bond market," International Finance Discussion Papers 1071, Board of Governors of the Federal Reserve System (U.S.).
  101. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  102. Kee H. Chung & Mingsheng Li, 2003. "Adverse‐Selection Costs and the Probability of Information‐Based Trading," The Financial Review, Eastern Finance Association, vol. 38(2), pages 257-272, May.
  103. Itay Goldstein, 2023. "Information in Financial Markets and Its Real Effects," Review of Finance, European Finance Association, vol. 27(1), pages 1-32.
  104. Gagan Deep & Akash Deep & William Lamptey, 2025. "Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals," Papers 2512.12924, arXiv.org.
  105. Ormos, Mihály & Timotity, Dusán, 2016. "Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading," Finance Research Letters, Elsevier, vol. 19(C), pages 60-66.
  106. Marco Wölfle, 2015. "Information-Based Trade in German Real Estate and Equity Markets," Risks, MDPI, vol. 3(4), pages 1-26, December.
  107. J. Barry Lin & Christos Pantzalis & Jung Chul Park, 2017. "Corporate derivatives use policy and information environment," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 159-194, July.
  108. Chen, Tsung-Kang, 2016. "Does geography matter in a geographically small and culturally homogeneous country? Firm location and corporate credit risk," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 323-348.
  109. Aigbe Akhigbe & Anna D. Martin & Melinda L. Newman, 2010. "Information Asymmetry Determinants of Sarbanes‐Oxley Wealth Effects," Financial Management, Financial Management Association International, vol. 39(3), pages 1253-1272, September.
  110. Qiang Kang & Qiao Liu, 2010. "Information-Based Stock Trading, Executive Incentives, and the Principal-Agent Problem," Management Science, INFORMS, vol. 56(4), pages 682-698, April.
  111. 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.
  112. Darren D. Lee & Robert W. Faff & Kim Langfield-Smith, 2009. "Revisiting the Vexing Question: Does Superior Corporate Social Performance Lead to Improved Financial Performance?," Australian Journal of Management, Australian School of Business, vol. 34(1), pages 21-49, June.
  113. Dean Katselas & Baljit K. Sidhu & Chuan Yu, 2021. "Liquidity and information asymmetry around unscheduled mining announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3053-3087, June.
  114. Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," CFR Working Papers 15-13, University of Cologne, Centre for Financial Research (CFR).
  115. Huang, Zihuang & Wang, Shaokun & Li, Kaifeng, 2025. "The impact of informed trading on liquidity in Chinese crude oil futures," Energy Economics, Elsevier, vol. 150(C).
  116. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
  117. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
  118. Saffi, Pedro, 2008. "Differences of opinion, information and the timing of trades," IESE Research Papers D/747, IESE Business School.
  119. Belén Gill de Albornoz Noguer & Manuel Illueca Muñoz, 2007. "La calidad de los ajustes por devengo no afecta al coste de la deuda de las PYMES españolas," Investigaciones Economicas, Fundación SEPI, vol. 31(1), pages 79-117, January.
  120. Aktas, Nihat & de Bodt, Eric & Declerck, Fany & Van Oppens, Herve, 2007. "The PIN anomaly around M&A announcements," Journal of Financial Markets, Elsevier, vol. 10(2), pages 169-191, May.
  121. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
  122. Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2009. "The effect of earnings surprises on information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 208-225, June.
  123. Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
  124. Friewald, Nils & Nagler, Florian, 2018. "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers 13345, Centre for Economic Policy Research.
  125. Shive, Sophie, 2012. "Local investors, price discovery, and market efficiency," Journal of Financial Economics, Elsevier, vol. 104(1), pages 145-161.
  126. Jinghan Cai & Chiu Yu Ko & Yuming Li & Le Xia, 2019. "Hide and Seek: Uninformed Traders and the Short-sales Constraints," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 319-356, May.
  127. Saeed Fathi & Zahra Mohammadin & Karim Azarbayjani, 2025. "Corporate finance signaling theory: an empirical analysis on the relationship between information asymmetry and the cost of equity capital," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 22(3), pages 629-643, September.
  128. Jackson, David, 2013. "Estimating PIN for firms with high levels of trading," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 116-120.
  129. Yue Fang & Tianyu Hou & Qin Su & Raymond Y.K. Lau, 2025. "Managing firm risk: supply chain board members and the contingent effects of firm network architectures," Information Technology and Management, Springer, vol. 26(4), pages 573-591, December.
  130. Chan, Lilian H. & Chen, Kevin C.W. & Chen, Tai-Yuan, 2013. "The effects of firm-initiated clawback provisions on bank loan contracting," Journal of Financial Economics, Elsevier, vol. 110(3), pages 659-679.
  131. Laura L. Veldkamp, 2006. "Media Frenzies in Markets for Financial Information," American Economic Review, American Economic Association, vol. 96(3), pages 577-601, June.
  132. Katsuhiko Muramiya & Tomomi Takada, 2015. "Cross-Shareholdings and Information Environment," Discussion Papers in Economics and Business 15-20, Osaka University, Graduate School of Economics.
  133. Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
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