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Risk Aversion, Market Liquidity, and Price Efficiency
15 references·16 citing·29 second hop
Risk Aversion, Market Liquidity, and Price Efficiency (1991)Risk Aversion, Market Liquidity, and Pric…Insider Trading and the Efficiency of Stock Prices (1992)Insider Trading and the Effic…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Trade and the Revelation of Information through Prices and Direct Disclosure (1989)Trade and the Revelation of I…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Disclosure Decisions by Firms and the Competition for Price Efficiency (1989)Disclosure Decisions by Firms…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…Information Acquisition in a Noisy Rational Expectations Economy (1982)Information Acquisition in a …Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the aggregation of information in competitive markets (1980)On the aggregation of informa…Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)Glued to the TV: Distracted N…Stock return predictability and investor sentiment: A high-frequency perspective (2016)Stock return predictability a…Public information and uninformed trading: Implications for market liquidity and price efficiency (2016)Public information and uninfo…Sell-order liquidity and the cross-section of expected stock returns (2012)Sell-order liquidity and the …Value creating stock manipulation: feedback effect of stock prices on firm value (2004)Value creating stock manipula…Trade Disclosure Regulation in Markets with Negotiated Trades (1999)Trade Disclosure Regulation i…U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)U.K. and U.S. Trading of Brit…Life in the Pits: Competitive Market Making and Inventory Control (1996)Life in the Pits: Competitive…Information, Trade, and Derivative Securities: Table 1 (1996)Information, Trade, and Deriv…Short-Term Investment and the Informational Efficiency of the Market (1995)Short-Term Investment and the…Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Trading and Liquidity on the …Imperfect Competition in a Multi-Security Market with Risk Neutrality (1994)Imperfect Competition in a Mu…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Informed Speculation and Hedging in a Noncompetitive Securities Market (1992)Informed Speculation and Hedg…Sunshine Trading and Financial Market Equilibrium (1991)Sunshine Trading and Financia…Insiders, Outsiders, and Market Breakdowns (1991)Insiders, Outsiders, and Mark…Risk Aversion in the Small and in the Large (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Herd Behavior and Investment (1988)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Expectations and the neutrality of money (1972)Noise (1986)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Tests of microstructural hypotheses in the foreign exchange market (1995)Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Beauty Contests and Iterated Expectations in Asset Markets (2006)Individual Investors and Local Bias (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Illiquidity and stock returns: cross-section and time-series effects (2002)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)Investor Attention, Overconfidence and Category Learning (2005)Winners in the spotlight: Media coverage of fund holdings as a driver of flows (2014)Big Data as a Governance Mechanism (2018)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1982Information Acquisition in a Noisy Rational Expectations Economy639 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1992Insider Trading and the Efficiency of Stock Prices454 cited
  • 1989Disclosure Decisions by Firms and the Competition for Price Efficiency434 cited
  • 1989Trade and the Revelation of Information through Prices and Direct Disclosure422 cited

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Cited by

  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1991Insiders, Outsiders, and Market Breakdowns255 cited
  • 1996U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration253 cited
  • 1991Sunshine Trading and Financial Market Equilibrium243 cited
  • 2019Glued to the TV: Distracted Noise Traders and Stock Market Liquidity225 cited
  • 1992Informed Speculation and Hedging in a Noncompetitive Securities Market222 cited
  • 2016Stock return predictability and investor sentiment: A high-frequency perspective212 cited
  • 1996Life in the Pits: Competitive Market Making and Inventory Control211 cited
  • 1996Information, Trade, and Derivative Securities: Table 1187 cited
  • 1999Trade Disclosure Regulation in Markets with Negotiated Trades172 cited
  • 1995Short-Term Investment and the Informational Efficiency of the Market166 cited
  • 2012Sell-order liquidity and the cross-section of expected stock returns151 cited
  • 1994Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View144 cited
  • 1994Imperfect Competition in a Multi-Security Market with Risk Neutrality132 cited
  • 2004Value creating stock manipulation: feedback effect of stock prices on firm value125 cited
  • 2016Public information and uninformed trading: Implications for market liquidity and price efficiency119 cited