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A Model of Competitive Stock Trading Volume
14 references·16 citing·30 second hop
A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock Trading Volu…Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Stock Prices and Volume (1992)Stock Prices and VolumeA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…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…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The Information Content of Annual Earnings Announcements (1968)The Information Content of An…Testing Asymmetric-Information Asset Pricing Models (2012)Testing Asymmetric-Informatio…Evaporating Liquidity (2012)Evaporating LiquidityRecent trends in trading activity and market quality (2011)Recent trends in trading acti…Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…Does Public Financial News Resolve Asymmetric Information? (2010)Does Public Financial News Re…Valuation in Over-the-Counter Markets (2007)Valuation in Over-the-Counter…Liquidity and Autocorrelations in Individual Stock Returns (2006)Liquidity and Autocorrelation…Liquidity and Asset Prices (2006)Liquidity and Asset PricesBeauty Contests and Iterated Expectations in Asset Markets (2006)Beauty Contests and Iterated …Trading Volume, Information Asymmetry, and Timing Information (2005)Trading Volume, Information A…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumLiquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)The Behavior of Stock-Market Prices (1965)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)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)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Using daily stock returns (1985)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited

Cited by

  • 2001The High‐Volume Return Premium860 cited

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  • 2006Liquidity and Asset Prices821 cited
  • 2001Liquidity Risk and Expected Stock Returns738 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory694 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 2012Testing Asymmetric-Information Asset Pricing Models584 cited
  • 2006Beauty Contests and Iterated Expectations in Asset Markets573 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2005Trading Volume, Information Asymmetry, and Timing Information549 cited
  • 2010Does Public Financial News Resolve Asymmetric Information?544 cited
  • 2007Valuation in Over-the-Counter Markets526 cited
  • 2012Evaporating Liquidity525 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2006Liquidity and Autocorrelations in Individual Stock Returns470 cited