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Earnings Announcements and Market Depth*
11 references·0 citing·35 second hop
Earnings Announcements and Market Depth* (1997)Earnings Announcements and Market Depth*Earnings Announcements and the Components of the Bid-Ask Spread (1996)Earnings Announcements and th…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…The Impact of Costly Information Interpretation on Firm Disclosure Decisions (1991)The Impact of Costly Informat…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements (1986)Information Asymmetry and the…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)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)On the Impossibility of Informationally Efficient Markets (1980)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)Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Inferring Trade Direction from Intraday Data (1991)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Information Effects on the Bid-Ask Spread (1983)Dividend Policy under Asymmetric Information (1985)Insider Holdings and Perceptions of Information Asymmetry: A Note (1988)Portfolio Risk Analysis (2010)Target’s earnings quality and bidders’ takeover decisions (2013)Market evidence on the opaqueness of banking firms’ assets (2003)When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions (2010)The 2007–2009 financial crisis and bank opaqueness (2012)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1996Earnings Announcements and the Components of the Bid-Ask Spread388 cited
  • 1986Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements244 cited
  • 1991The Impact of Costly Information Interpretation on Firm Disclosure Decisions150 cited

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