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Market makers as information providers: The natural experiment of STAR
16 references·0 citing·37 second hop
Market makers as information providers: The natural experiment of STAR (2010)Market makers as information providers: T…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Information asymmetry, corpor…Capital markets research in accounting (2001)Capital markets research in a…Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns (2001)Can Investors Profit from the…The Economic Consequences of Increased Disclosure (1999)The Economic Consequences of …Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Liquidity and Market Structure (1988)Liquidity and Market StructureEstimating the components of the bid/ask spread (1988)Estimating the components of …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…Limited-dependent and qualitative variables in econometrics (1983)Limited-dependent and qualita…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Market liquidity and volume around earnings announcements (1994)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)Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure level and the cost of equity capital. (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The economic implications of corporate financial reporting (2005)Revisiting the relation between environmental performance and environmental disclosure: An empirical analysis (2007)Judgment under Uncertainty: Heuristics and Biases (1974)Common risk factors in the returns on stocks and bonds (1993)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Econometric Analysis of Cross Section and Panel Data (2001)Does Foreign Direct Investment Increase the Productivity of Domestic Firms? In Search of Spillovers Through Backward Linkages (2004)Introductory Econometrics for Finance (2008)
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References

  • 1983Limited-dependent and qualitative variables in econometrics13,257 cited
  • 2001Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature7,391 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 2001Capital markets research in accounting2,575 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1999The Economic Consequences of Increased Disclosure2,101 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2001Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns1,100 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited

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  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
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