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The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium
16 references·16 citing·44 second hopsampled
The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium (1999)The Effect of Derivative Assets on Inform…Corporate Incentives for Hedging and Hedge Accounting (1995)Corporate Incentives for Hedg…Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Consumer Reaction to Measures…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Optimal Release of Information By Firms (1985)Optimal Release of Informatio…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information, trade and common knowledge (1982)Information, trade and common…Information Acquisition in a Noisy Rational Expectations Economy (1982)Information Acquisition in a …Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …On the aggregation of information in competitive markets (1980)On the aggregation of informa…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Options and Efficiency (1976)Options and EfficiencyFact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts (2023)The Impact of Derivatives on …Informed Trading by Advisor Banks: Evidence from Options Holdings (2018)Informed Trading by Advisor B…Credit Default Swaps and Firm Value (2018)Credit Default Swaps and Firm…The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs) (2017)The impact of innovation: Evi…The bright side of financial derivatives: Options trading and firm innovation (2017)The bright side of financial …Option Listing and Information Asymmetry (2017)Option Listing and Informatio…The Joint Cross Section of Stocks and Options (2013)The Joint Cross Section of St…Informational Content of Options Trading on Acquirer Announcement Return (2013)Informational Content of Opti…The Joint Cross Section of Stocks and Options (2012)The Joint Cross Section of St…Information acquisition and mutual funds (2009)Information acquisition and m…Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry (2008)Price Volatility and Investor…Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2008)Differences of Opinion of Pub…Information Quality and Options (2006)Information Quality and Optio…Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2005)Differences of Opinion of Pub…Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market (2001)Informed Trading around Merge…Option listing and the stock-price response to earnings announcements (1999)Option listing and the stock-…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The arbitrage theory of capital asset pricing (1976)The Performance of Hedge Funds: Risk, Return, and Incentives (1999)Mutual Fund Flows and Performance in Rational Markets (2002)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Risk Aversion in the Small and in the Large (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Herd Behavior and Investment (1988)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Noise Trader Risk in Financial Markets (1990)Expectations and the neutrality of money (1972)Noise (1986)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Analyst Coverage and Intangible Assets (2001)Information and the Cost of Capital (2004)Disclosure processing costs, investors’ information choice, and equity market outcomes: A review (2020)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1985Optimal Release of Information By Firms1,105 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1992Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry1,065 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1976Options and Efficiency830 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1995Corporate Incentives for Hedging and Hedge Accounting762 cited
  • 1982Information Acquisition in a Noisy Rational Expectations Economy639 cited

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1989
Insider Trading, Liquidity, and the Role of the Monopolist Specialist
517 cited

Cited by

  • 2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)166 cited
  • 2008Differences of Opinion of Public Information and Speculative Trading in Stocks and Options160 cited
  • 2017The bright side of financial derivatives: Options trading and firm innovation151 cited
  • 2013The Joint Cross Section of Stocks and Options135 cited
  • 2013Informational Content of Options Trading on Acquirer Announcement Return131 cited
  • 2001Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market105 cited
  • 2008Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry101 cited
  • 2009Information acquisition and mutual funds86 cited
  • 2006Information Quality and Options63 cited
  • 2017Option Listing and Information Asymmetry63 cited
  • 2023The Impact of Derivatives on Spot Markets: Evidence from the Introduction of Bitcoin Futures Contracts58 cited
  • 1999Option listing and the stock-price response to earnings announcements58 cited
  • 2005Differences of Opinion of Public Information and Speculative Trading in Stocks and Options57 cited
  • 2018Credit Default Swaps and Firm Value54 cited
  • 2012The Joint Cross Section of Stocks and Options51 cited
  • 2018Informed Trading by Advisor Banks: Evidence from Options Holdings47 cited