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On the importance of timing specifications in market microstructure research

Citations

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Cited by:

  1. Dimitrios Karyampas & Paola Paiardini, 2011. "Probability of Informed Trading and Volatility for an ETF," Birkbeck Working Papers in Economics and Finance 1101, Birkbeck, Department of Economics, Mathematics & Statistics.
  2. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
  3. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Norwegian School of Economics, Department of Business and Management Science.
  4. Thomas Henker & Martin Martens, 2010. "Spread decomposition with common spread components," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(2), pages 88-115, April.
  5. Jiang, Christine X. & Likitapiwat, Tanakorn & McInish, Thomas H., 2012. "Information Content of Earnings Announcements: Evidence from After-Hours Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1303-1330, December.
  6. Rudy De Winne & Christophe Majois, 2003. "A comparison of alternative spread décomposition models on Euronext Brussels," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 46(4), pages 91-136.
  7. repec:dau:papers:123456789/4430 is not listed on IDEAS
  8. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
  9. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
  10. Meihui Guo & Yi-Ting Guo & Chi-Jeng Wang & Liang-Ching Lin, 2015. "Assessing influential trade effects via high-frequency market reactions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(7), pages 1458-1471, July.
  11. Collver, Charles, 2009. "Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions," Journal of Financial Markets, Elsevier, vol. 12(1), pages 87-106, February.
  12. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
  13. Adrian D. Lee & Shan Choy, 2014. "Contracts for dummies? The performance of investors in contracts for difference," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 965-997, September.
  14. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  15. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
  16. David Michayluk & Karyn Neuhauser, 2008. "Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 159-178, September.
  17. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
  18. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
  19. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.
  21. William Lin & Shih-Chuan Tsai & David Sun, 2011. "Price informativeness and predictability: how liquidity can help," Applied Economics, Taylor & Francis Journals, vol. 43(17), pages 2199-2217.
  22. Marcelo Brutti Righi & Kelmara Mendes Vieira & Daniel Arruda Coronel & Reisoli Bender Filho & Paulo Sergio Ceretta, 2014. "Decomposing the bid-ask spread in the Brazilian market: an intraday framework," Economics Bulletin, AccessEcon, vol. 34(3), pages 2010-2023.
  23. Jose Gutierrez & Yiuman Tse, 2009. "NYSE execution quality subsequent to migration to hybrid," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 59-81, July.
  24. Craig W. Holden & Stacey Jacobsen, 2014. "Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions," Journal of Finance, American Finance Association, vol. 69(4), pages 1747-1785, August.
  25. Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
  26. Pascal Busch & Stefan Obernberger, 2017. "Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 324-362.
  27. Utpal Bhattacharya & Craig W. Holden & Stacey Jacobsen, 2012. "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, INFORMS, vol. 58(2), pages 413-431, February.
  28. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.
  29. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  30. Erik J. Mayer, 2021. "Advertising, investor attention, and stock prices: Evidence from a natural experiment," Financial Management, Financial Management Association International, vol. 50(1), pages 281-314, March.
  31. Gehrig, Thomas & Haas, Marlene, 2014. "Lehman Brothers: What Did Markets Know?," CEPR Discussion Papers 9893, C.E.P.R. Discussion Papers.
  32. Kryzanowski, Lawrence & Lazrak, Skander & Rakita, Ian, 2010. "Behavior of liquidity and returns around Canadian seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2954-2967, December.
  33. Georg Dettmann, 2011. "A View on Global Imbalances and their Contribution to the Financial Crisis," Birkbeck Working Papers in Economics and Finance 1102, Birkbeck, Department of Economics, Mathematics & Statistics.
  34. Giovanni Cespa & Xavier Vives, 2011. "Expectations, Liquidity, and Short-term Trading," CESifo Working Paper Series 3390, CESifo.
  35. 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.
  36. Jurkatis, Simon, 2022. "Inferring trade directions in fast markets," Journal of Financial Markets, Elsevier, vol. 58(C).
  37. Dale W. R. Rosenthal, 2012. "Modeling Trade Direction," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 390-415, 2012 04.
  38. Gehrig, Thomas & Haas, Marlene, 2016. "Anomalous Trading Prior to Lehman Brothers' Failure," CEPR Discussion Papers 11194, C.E.P.R. Discussion Papers.
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