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Short-term traders and liquidity:
12 references·16 citing·45 second hop
Short-term traders and liquidity: (1998)Short-term traders and liquidity:Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices (1991)Discounts on Restricted Stock…Option listing and stock returns (1990)Option listing and stock retu…Market microstructure and asset pricing (1990)Market microstructure and ass…When financial markets work too well: A cautious case for a securities transactions tax (1989)When financial markets work t…Using tax policy to curb speculative short-term trading (1989)Using tax policy to curb spec…The Price Effect of Option Introduction (1989)The Price Effect of Option In…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…An exploratory data analysis approach for analyzing financial accounting data using machine learning (2023)An exploratory data analysis …“A study of factors affecting investment decisions in India: The KANO way” (2021)“A study of factors affecting…Measuring the multi-faceted dimension of liquidity in financial markets: A literature review (2019)Measuring the multi-faceted d…Trader Leverage and Liquidity (2017)Trader Leverage and LiquidityCorporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market (2017)Corporate governance and stoc…Boardroom gender diversity and stock liquidity: Evidence from Australia (2017)Boardroom gender diversity an…What determines stock liquidity in Australia? (2016)What determines stock liquidi…Liquidity, Ownership Concentration, Corporate Governance, and Firm Value: Evidence from Thailand (2016)Liquidity, Ownership Concentr…Illiquidity and Stock Returns Cross-Section and Time-Series Effects* (2012)Illiquidity and Stock Returns…Liquidity and capital structure: The case of Thailand (2010)Liquidity and capital structu…Inter-temporal variation in the illiquidity premium (2010)Inter-temporal variation in t…Illiquidity and Stock Returns (2010)Illiquidity and Stock ReturnsChanges in REIT Liquidity 1988–2007: Evidence from Daily Data (2010)Changes in REIT Liquidity 198…Stock exchange merger and liquidity: The case of Euronext (2008)Stock exchange merger and liq…The Impact of Changes in the FTSE 100 Index (2007)The Impact of Changes in the …Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex‐Day Returns in Hong Kong after Introduction of Electronic Settlement (2000)Reduction of Constraints on A…The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Estimating betas from nonsynchronous data (1977)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)S&P 500 Cash Stock Price Volatilities (1989)The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis (1998)O/S: The relative trading activity in options and stock (2009)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Filtering and forecasting with misspecified ARCH models I (1992)Transactions Costs and Holding Periods for Common Stocks (1997)A Closer Look at the Short-Term Return Reversal (2013)Stock price effects and costs of secondary distributions (1985)How Much Can Marketability Affect Security Values? (1995)Liquidity shocks and equilibrium liquidity premia (2003)Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? (2003)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Hedge Funds and the Collapse of Long-Term Capital Management (1999)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)How Noise Trading Affects Markets: An Experimental Analysis (2009)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage (2004)Stock price fragility (2011)New Evidence on the Financialization of Commodity Markets (2014)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 1989When financial markets work too well: A cautious case for a securities transactions tax419 cited
  • 1989Using tax policy to curb speculative short-term trading407 cited
  • 1989The Price Effect of Option Introduction352 cited
  • 1991Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices307 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures300 cited
  • 1990Option listing and stock returns214 cited
  • 1990Market microstructure and asset pricing162 cited

Cited by

  • 2008Stock exchange merger and liquidity: The case of Euronext98 cited
  • 2017Trader Leverage and Liquidity95 cited
  • 2010Liquidity and capital structure: The case of Thailand

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89 cited
  • 2012Illiquidity and Stock Returns Cross-Section and Time-Series Effects*89 cited
  • 2017Boardroom gender diversity and stock liquidity: Evidence from Australia85 cited
  • 2010Inter-temporal variation in the illiquidity premium77 cited
  • 2017Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market68 cited
  • 2016Liquidity, Ownership Concentration, Corporate Governance, and Firm Value: Evidence from Thailand65 cited
  • 2010Illiquidity and Stock Returns64 cited
  • 2019Measuring the multi-faceted dimension of liquidity in financial markets: A literature review61 cited
  • 2021“A study of factors affecting investment decisions in India: The KANO way”59 cited
  • 2000Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex‐Day Returns in Hong Kong after Introduction of Electronic Settlement57 cited
  • 2023An exploratory data analysis approach for analyzing financial accounting data using machine learning55 cited
  • 2007The Impact of Changes in the FTSE 100 Index54 cited
  • 2016What determines stock liquidity in Australia?53 cited
  • 2010Changes in REIT Liquidity 1988–2007: Evidence from Daily Data53 cited