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Tests and Properties of Variance Ratios in Microstructure Studies
16 references·8 citing·46 second hop
Tests and Properties of Variance Ratios in Microstructure Studies (1997)Tests and Properties of Variance Ratios i…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesAssessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Assessing the Quality of a Se…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Rational Asset Price Movements Without News (1992)Rational Asset Price Movement…Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…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…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…On estimating the expected return on the market (1980)On estimating the expected re…Testing the Weak-Form Efficiency of the Palestinian Securities Market (2009)Testing the Weak-Form Efficie…Do Financial Analysts Restrain Insiders' Informational Advantage? (2009)Do Financial Analysts Restrai…How does the call market method affect price efficiency? Evidence from the Singapore Stock Market (2008)How does the call market meth…Efficiency in the Australian stock market, 1875–2006: a note on extreme long-run random walk behaviour (2008)Efficiency in the Australian …Price Discovery across the Rhine (2004)Price Discovery across the Rh…The Microstructure of Stock Markets (2002)The Microstructure of Stock M…The impact of the Federal Reserve Bank's open market operations (2002)The impact of the Federal Res…Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing (2001)Information Flow and Pricing …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)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1986Stock return variances1,813 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement506 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited

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1992
Rational Asset Price Movements Without News
282 cited

Cited by

  • 2008How does the call market method affect price efficiency? Evidence from the Singapore Stock Market55 cited
  • 2002The impact of the Federal Reserve Bank's open market operations44 cited
  • 2001Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing39 cited
  • 2004Price Discovery across the Rhine33 cited
  • 2009Testing the Weak-Form Efficiency of the Palestinian Securities Market31 cited
  • 2009Do Financial Analysts Restrain Insiders' Informational Advantage?31 cited
  • 2008Efficiency in the Australian stock market, 1875–2006: a note on extreme long-run random walk behaviour30 cited
  • 2002The Microstructure of Stock Markets30 cited