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Stealth trading and volatility
7 references·16 citing·41 second hop
Stealth trading and volatility (1993)Stealth trading and volatilityA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The market for corporate control (1983)The market for corporate cont…Special Information and Insider Trading (1974)Special Information and Insid…When Does Information Asymmetry Affect the Cost of Capital? (2010)When Does Information Asymmet…Institutional industry herding (2009)Institutional industry herdingHow Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Do Retail Trades Move Markets? (2008)Do Retail Trades Move Markets?Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)Caught on tape: Institutional…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Institutional Investors and Stock Market Volatility (2006)Institutional Investors and S…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Price Discovery and Trading After Hours (2003)Price Discovery and Trading A…Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Cross‐Border Listings and Pri…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Trade size, order imbalance, and the volatility–volume relation (2000)Trade size, order imbalance, …Presidential Address: Friction (2000)Presidential Address: FrictionReturn autocorrelation and institutional investors (1997)Return autocorrelation and in…High frequency data in financial markets: Issues and applications (1997)High frequency data in financ…Anatomy of the trading process empirical evidence on the behavior of institutional traders (1995)Anatomy of the trading proces…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Inferring Trade Direction from Intraday Data (1991)Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011)The Behavior of Individual Investors (2013)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)Management ownership and market valuation (1988)Agency Theory: An Assessment and Review (1989)A Survey of Corporate Governance (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Short-Sale Strategies and Return Predictability (2008)Institutional Investors and the Informational Efficiency of Prices (2009)Short Selling and the Price Discovery Process (2012)Efficient Capital Markets: II (1991)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Are Insider Trades Informative? (2001)Noise Trader Risk in Financial Markets (1990)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1983The market for corporate control4,145 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1986Stock return variances1,813 cited
  • 1974Special Information and Insider Trading1,236 cited

Cited by

  • 2007Which Shorts Are Informed?966 cited
  • 2008Do Retail Trades Move Markets?903 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2000Presidential Address: Friction681 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 2010When Does Information Asymmetry Affect the Cost of Capital?492 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 1995Anatomy of the trading process empirical evidence on the behavior of institutional traders

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435 cited
  • 2000Trade size, order imbalance, and the volatility–volume relation416 cited
  • 1997High frequency data in financial markets: Issues and applications411 cited
  • 2003Price Discovery and Trading After Hours407 cited
  • 2003Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks399 cited
  • 2008Caught on tape: Institutional trading, stock returns, and earnings announcements392 cited
  • 1997Return autocorrelation and institutional investors388 cited
  • 2009Institutional industry herding387 cited