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Market behaviour around Canadian stock-split ex-dates
16 references·4 citing·32 second hop
Market behaviour around Canadian stock-split ex-dates (1993)Market behaviour around Canadian stock-sp…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…ARCH modeling in finance (1992)ARCH modeling in financeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Stock Splits and Stock Dividends: Why, Who, and When (1987)Stock Splits and Stock Divide…Stock return variances (1986)Stock return variancesUsing daily stock returns (1985)Using daily stock returnsBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The valuation effects of stock splits and stock dividends (1984)The valuation effects of stoc…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis (2021)The Long-Run Impact of Inform…The effect of split announcements on Canadian stocks (2003)The effect of split announcem…Price discovery around trading halts on the Montreal Exchange using trade‐by‐trade data (1998)Price discovery around tradin…A reexamination of corporate sell-offs of real estate assets (1996)A reexamination of corporate …The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Introductory Econometrics for Finance (2008)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985Using daily stock returns6,497 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1986Stock return variances1,813 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1984The valuation effects of stock splits and stock dividends629 cited

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  • 1987Stock Splits and Stock Dividends: Why, Who, and When457 cited
  • Cited by

    • 2021The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis37 cited
    • 1998Price discovery around trading halts on the Montreal Exchange using trade‐by‐trade data36 cited
    • 2003The effect of split announcements on Canadian stocks34 cited
    • 1996A reexamination of corporate sell-offs of real estate assets32 cited