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Stealth-trading: Which traders' trades move stock prices?
12 references·16 citing·37 second hop
Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which traders' trades mo…Optimal control of execution costs (1998)Optimal control of execution …The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Stealth trading and volatility (1993)Stealth trading and volatilityTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…An Empirical Analysis of Illegal Insider Trading (1992)An Empirical Analysis of Ille…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Firm characteristics and analyst following (1989)Firm characteristics and anal…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Forecasting volatility of the U.S. oil market (2014)Forecasting volatility of the…Who Drove and Burst the Tech Bubble? (2011)Who Drove and Burst the Tech …Institutional ownership and conservatism (2011)Institutional ownership and c…When Does Information Asymmetry Affect the Cost of Capital? (2010)When Does Information Asymmet…Local institutional investors, information asymmetries, and equity returns☆ (2010)Local institutional investors…Institutional industry herding (2009)Institutional industry herdingExchange rate forecasting, order flow and macroeconomic information (2009)Exchange rate forecasting, or…Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)Caught on tape: Institutional…Who Trades on Pro Forma Earnings Information? (2007)Who Trades on Pro Forma Earni…When Security Analysts Talk, Who Listens? (2007)When Security Analysts Talk, …Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds (2006)Does Motivation Matter When A…Just How Much Do Individual Investors Lose By Trading? (2005)Just How Much Do Individual I…Disclosure Policy and Market Liquidity: Impact of Depth Quotes and Order Sizes* (2005)Disclosure Policy and Market …The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)Greener Pastures and the Impa…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Presidential Address: Friction (2000)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Common factors in prices, order flows, and liquidity (2001)Are Momentum Profits Robust to Trading Costs? (2004)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)Specification Tests in Econometrics (1978)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1989Firm characteristics and analyst following1,535 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1993Stealth trading and volatility948 cited
  • 1992An Empirical Analysis of Illegal Insider Trading818 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited

Cited by

  • 2003Greener Pastures and the Impact of Dynamic Institutional Preferences668 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 2010When Does Information Asymmetry Affect the Cost of Capital?492 cited
  • 2003

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Optimal execution with nonlinear impact functions and trading-enhanced risk
466 cited
  • 2010Local institutional investors, information asymmetries, and equity returns☆440 cited
  • 2011Institutional ownership and conservatism424 cited
  • 2008Caught on tape: Institutional trading, stock returns, and earnings announcements392 cited
  • 2009Institutional industry herding387 cited
  • 2011Who Drove and Burst the Tech Bubble?318 cited
  • 2006Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds311 cited
  • 2007When Security Analysts Talk, Who Listens?284 cited
  • 2009Exchange rate forecasting, order flow and macroeconomic information281 cited
  • 2007Who Trades on Pro Forma Earnings Information?261 cited
  • 2005Disclosure Policy and Market Liquidity: Impact of Depth Quotes and Order Sizes*248 cited
  • 2014Forecasting volatility of the U.S. oil market248 cited
  • 2005Just How Much Do Individual Investors Lose By Trading?248 cited