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An empirical examination of information, differences of opinion, and trading activity

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References

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1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
1987Constraints on short-selling and asset price adjustment to private information1,796 cited
1982Information, trade and common knowledge1,738 cited
1993Differences of Opinion Make a Horse Race1,650 cited
1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
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1994The Impact of Public Information on the Stock Market549 cited
1991A Theory of Trading in Stock Index Futures

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542 cited

1989Heteroskedasticity in Stock Returns479 cited

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2005Do Heterogeneous Beliefs Matter for Asset Pricing?243 cited
2004Structural Incoherence and Stock Market Activity239 cited
2000Price Discovery without Trading: Evidence from the Nasdaq Preopening231 cited
2016Empirical Asset Pricing: The Cross Section of Stock Returns210 cited
1998An empirical examination of the amortized spread1Prior versions of this paper were entitled, `Bid–ask spreads, holding periods, and realized transaction costs.' We are grateful for many helpful comments from Yakov Amihud, Jennifer Conrad, Larry Dann, Diane Del Guercio, Dave Denis, Diane Denis, Craig Dunbar, Ed Dyl, Roger Edelen, Rob Hansen, Mark Huson, Raman Kumar, Chris Lamoureux, John McConnell, Wayne Mikkelson, Megan Partch, Henri Servaes, Vijay Singal, Mike Weisbach, Marc Zenner, and an anonymous referee. In addition, we appreciate the comments from seminar participants at the 1997 American Finance Association meetings, the University of Arizona, Kansas State University, the University of North Carolina, the 1996 Pacific Northwest Finance Conference, Virginia Polytechnic Institute, and the University of Wisconsin. This work has been partially supported by a summer research grant from the Pamplin College of Business.1202 cited
2002The Economic Consequences of Increased Disclosure: Evidence from International Cross-Listings191 cited
2001The impact of public information on investors190 cited
2010Corporate bond credit spreads and forecast dispersion180 cited
1999A Trading Volume Benchmark: Theory and Evidence180 cited
2003Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares179 cited
1999An Examination of Herd Behavior in Equity Markets: An International Perspective175 cited