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TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES
16 references·7 citing·44 second hop
TRADING PATTERNS OF SMALL AND LARGE TRADERS AROUND STOCK SPLIT EX‐DATES (1996)TRADING PATTERNS OF SMALL AND LARGE TRADE…Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998)Why do stock prices drop by l…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions (1993)Securities Transaction Taxes:…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Earnings news and small traders (1992)Earnings news and small trade…Stock Prices and the Supply of Information (1991)Stock Prices and the Supply o…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Effects of Stock Splits on Bid-Ask Spreads (1990)The Effects of Stock Splits o…Order Imbalances and Stock Price Movements on October 19 and 20, 1987 (1989)Order Imbalances and Stock Pr…A Day-End Transaction Price Anomaly (1989)A Day-End Transaction Price A…The Market Reaction to Stock Splits (1987)The Market Reaction to Stock …Stock Splits and Stock Dividends: Why, Who, and When (1987)Stock Splits and Stock Divide…Noise (1986)NoiseVolatility increases subsequent to stock splits: An empirical aberration (1985)Volatility increases subseque…Management's View of Stock Splits (1980)Management's View of Stock Sp…Liquidity Changes Following Stock Splits (1979)Liquidity Changes Following S…Market Reaction Around the Stock Splits and Bonus Issues: Some Indian Evidence (2008)Market Reaction Around the St…THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA (2007)THE MARKET REACTION TO STOCK …DOES VOLATILITY DECREASE AFTER REVERSE STOCK SPLITS? (2007)DOES VOLATILITY DECREASE AFTE…Do Stock Splits Improve Liquidity? (2005)Do Stock Splits Improve Liqui…WHEN‐ISSUED SHARES, SMALL TRADES, AND THE VARIANCE OF RETURNS AROUND STOCK SPLITS (2004)WHEN‐ISSUED SHARES, SMALL TRA…Volatility, autocorrelations, and trading activity after stock splits (2001)Volatility, autocorrelations,…The effect of Canadian stock splits, stock dividends, and reverse splits on the value of the firm (1997)The effect of Canadian stock …An Empirical Evaluation of Accounting Income Numbers (1968)A Theory of Intraday Patterns: Volume and Price Variability (1988)Small Trades and the Cross-Section of Stock Returns (2008)Recent trends in trading activity and market quality (2011)Investor Sentiment and Stock Market Response to Earnings News (2012)The Information Content of Annual Earnings Announcements (1968)The Adjustment of Stock Prices to New Information (1969)Volume for Winners and Losers: Taxation and Other Motives for Stock Trading (1986)Stock splits, stock prices, and transaction costs (1988)How Stock Splits Affect Trading: A Microstructure Approach (2001)The Adjustment of Stock Prices to New Information (2003)Marginal Stockholder Tax Rates and the Clientele Effect (1970)Dividends and taxes (1978)Dividends and Taxes: Some Empirical Evidence (1982)Ex dividend day stock price behavior: discreteness or tax-induced clienteles? (1998)Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex‐Dividend Pricing before and after Decimalization (2003)Tax Changes and Asset Pricing (2009)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Informational Asymmetries, Financial Structure, and Financial Intermediation (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)What Do Stock Splits Really Signal? (1996)Tick Size, Share Prices, and Stock Splits (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Using daily stock returns (1985)Stock Splits, Tick Size, and Sponsorship (2000)Price-based return comovement (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Asset pricing and the bid-ask spread (1986)Economic Forces and the Stock Market (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Determinants of Mutual Fund Performance: A Cross-Country Study (2012)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)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

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1986Noise1,783 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1991Stock Prices and the Supply of Information566 cited
  • 1992Earnings news and small traders480 cited
  • 1987Stock Splits and Stock Dividends: Why, Who, and When457 cited
  • 1987The Market Reaction to Stock Splits366 cited
  • 1979Liquidity Changes Following Stock Splits326 cited
  • 1998Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes269 cited
  • 1985Volatility increases subsequent to stock splits: An empirical aberration255 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • 1990The Effects of Stock Splits on Bid-Ask Spreads214 cited
  • 1980Management's View of Stock Splits213 cited
  • 1989A Day-End Transaction Price Anomaly200 cited
  • 1993Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions189 cited
  • 1989Order Imbalances and Stock Price Movements on October 19 and 20, 1987

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177 cited

Cited by

  • 2001Volatility, autocorrelations, and trading activity after stock splits36 cited
  • 2008Market Reaction Around the Stock Splits and Bonus Issues: Some Indian Evidence36 cited
  • 1997The effect of Canadian stock splits, stock dividends, and reverse splits on the value of the firm31 cited
  • 2004WHEN‐ISSUED SHARES, SMALL TRADES, AND THE VARIANCE OF RETURNS AROUND STOCK SPLITS25 cited
  • 2007DOES VOLATILITY DECREASE AFTER REVERSE STOCK SPLITS?24 cited
  • 2005Do Stock Splits Improve Liquidity?24 cited
  • 2007THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA21 cited