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Measuring Event Impacts in Thinly Traded Stocks
12 references·7 citing·43 second hop
Measuring Event Impacts in Thinly Traded Stocks (1988)Measuring Event Impacts in Thinly Traded …Private Incentives and Public Information (2016)Private Incentives and Public…Estimating the components of the bid/ask spread (1988)Estimating the components of …Stock return variances (1986)Stock return variancesBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Securities Market Efficiency in an Arrow-Debreu Economy (1975)Securities Market Efficiency …Special Information and Insider Trading (1974)Special Information and Insid…Risk and return: The case of merging firms (1974)Risk and return: The case of …The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Do Wealth Creating Mergers and Acquisitions Really Hurt Acquirer Shareholders? (2011)Do Wealth Creating Mergers an…Public announcement induced market reactions on Baltic stock exchanges (2008)Public announcement induced m…Portfolio selection subject to experts' judgments (2008)Portfolio selection subject t…Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms? (2005)Diamonds Are Forever, Wars Ar…Conducting Event Studies on a Small Stock Exchange (2005)Conducting Event Studies on a…Liquidity and the turn-of-the-month effect: evidence from Finland (2001)Liquidity and the turn-of-the…International transmission on information in corn futures markets (1997)International transmission on…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)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Cost of Transacting (1968)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring security price performance (1980)Strategic Factor Markets: Expectations, Luck, and Business Strategy (1986)Efficient Capital Markets: II (1991)Efficient Capital Markets: II (1991)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Are Insider Trades Informative? (2001)The Event Study Methodology Since 1969 (1998)Does Arbitrage Flatten Demand Curves for Stocks? (2002)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Institutional trades and intraday stock price behavior (1993)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Presidential Address: Friction (2000)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1986Stock return variances1,813 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1974Special Information and Insider Trading1,236 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 1974Risk and return: The case of merging firms869 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 1975Securities Market Efficiency in an Arrow-Debreu Economy159 cited
  • 2016Private Incentives and Public Information115 cited

Cited by

  • 2001Liquidity and the turn-of-the-month effect: evidence from Finland43 cited
  • 2008Portfolio selection subject to experts' judgments41 cited
  • 1997International transmission on information in corn futures markets37 cited

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  • 2005Conducting Event Studies on a Small Stock Exchange22 cited
  • 2008Public announcement induced market reactions on Baltic stock exchanges21 cited
  • 2011Do Wealth Creating Mergers and Acquisitions Really Hurt Acquirer Shareholders?18 cited
  • 2005Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?13 cited