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Insider Trading With a Random Deadline
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Insider Trading With a Random Deadline (2010)Insider Trading With a Random DeadlineLiquidity and Asset Prices (2006)Liquidity and Asset PricesMarket microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Market microstructure: A surv…Information in Securities Markets: Kyle Meets Glosten and Milgrom (2004)Information in Securities Mar…Asset Pricing under Asymmetric Information (2001)Asset Pricing under Asymmetri…Long-lived information and intraday patterns (1998)Long-lived information and in…Strategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Informed Speculation and Hedging in a Noncompetitive Securities Market (1992)Informed Speculation and Hedg…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous 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 Only Game in Town (1971)The Only Game in TownA Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions (2024)A Horizon‐Based Decomposition…Informed Trading Intensity (2021)Informed Trading IntensityStrategic trading and unobservable information acquisition (2020)Strategic trading and unobser…Informed Trading in the Stock Market and Option-Price Discovery (2020)Informed Trading in the Stock…Trading Against the Random Expiration of Private Information: A Natural Experiment (2019)Trading Against the Random Ex…Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems (2016)Markovian Nash equilibrium in…Dynamic Trading: Price Inertia and Front-Running (2016)Dynamic Trading: Price Inerti…Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam (2015)Those Who Know Most: Insider …Smooth Trading with Overconfidence and Market Power (2013)Smooth Trading with Overconfi…Market Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Theories of Liquidity (2012)Theories of LiquidityMarket Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…Insider Trading, Stochastic Liquidity and Equilibrium Prices (2012)Insider Trading, Stochastic L…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)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)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)Asymmetric Information and Options (1993)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Brownian Motion and Stochastic Calculus (2007)A Theory of Intraday Patterns: Volume and Price Variability (1988)Differences of Opinion Make a Horse Race (1993)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Stock price reaction to public and private information (2006)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Valuation in Over-the-Counter Markets (2007)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs* (2012)The General Theory of Employment, Interest and Money. (1936)Learning in Financial Markets (2009)Cross-country effects in herding behaviour: Evidence from four south European markets (2011)Who Drove and Burst the Tech Bubble? (2011)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)No Single Currency Regime is Right for All Countries or At All Times (1999)Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Prices Reveal the Presence of Informed Trading? (2015)Noise Trader Risk in Financial Markets (1990)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1971The Only Game in Town855 cited
  • 2006Liquidity and Asset Prices821 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others507 cited
  • 2005Market microstructure: A survey of microfoundations, empirical results, and policy implications471 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 2001Asset Pricing under Asymmetric Information408 cited
  • 1992Informed Speculation and Hedging in a Noncompetitive Securities Market222 cited
  • 2004Information in Securities Markets: Kyle Meets Glosten and Milgrom208 cited
  • 1998Long-lived information and intraday patterns161 cited

Cited by

  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 2013Smooth Trading with Overconfidence and Market Power95 cited

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2021
Informed Trading Intensity
86 cited
  • 2012Insider Trading, Stochastic Liquidity and Equilibrium Prices65 cited
  • 2015Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam55 cited
  • 2012Market Liquidity -- Theory and Empirical Evidence54 cited
  • 2016Dynamic Trading: Price Inertia and Front-Running50 cited
  • 2020Informed Trading in the Stock Market and Option-Price Discovery49 cited
  • 2012Theories of Liquidity43 cited
  • 2019Trading Against the Random Expiration of Private Information: A Natural Experiment43 cited
  • 2020Strategic trading and unobservable information acquisition42 cited
  • 2016Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems25 cited
  • 2024A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions24 cited