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Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases
9 references·16 citing·50 second hop
Price Discovery on the NYSE and the NASDAQ: The Case of Overnight and Daytime News Releases (1996)Price Discovery on the NYSE and the NASDA…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…The Stock Market Response to Earnings Announcements Released During Trading versus Nontrading Periods (1992)The Stock Market Response to …Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…An evaluation of alternative proxies for the market's assessment of unexpected earnings (1987)An evaluation of alternative …Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The intraday speed of adjustm…Financial analysts' forecasts of earnings (1982)Financial analysts' forecasts…THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS (1978)THE SUPERIORITY OF ANALYST FO…Modeling fitting-function-based fuzzy time series patterns for evolving stock index forecasting (2014)Modeling fitting-function-bas…Overnight stock returns and realized volatility (2013)Overnight stock returns and r…Overnight public information, order placement, and price discovery during the pre-opening period (2012)Overnight public information,…Information Content of Earnings Announcements: Evidence from After-Hours Trading (2012)Information Content of Earnin…Contractual Resolutions of Financial Distress (2012)Contractual Resolutions of Fi…Foreign News and Spillovers in Emerging European Stock Markets (2011)Foreign News and Spillovers i…Judicial Discretion in Corporate Bankruptcy (2010)Judicial Discretion in Corpor…Renegotiation of cash flow rights in the sale of VC-backed firms (2009)Renegotiation of cash flow ri…Out-of-Court Restructuring versus Formal Bankruptcy in a Non-Interventionist Bankruptcy Setting (2009)Out-of-Court Restructuring ve…Overnight information and stochastic volatility: A study of European and US stock exchanges (2007)Overnight information and sto…Zooming in on Liquidity (2004)Zooming in on LiquidityThe Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis (2004)The Impact of Regulation Fair…The Effects of Inflation News on High Frequency Stock Returns (2004)The Effects of Inflation News…Around-the-Clock Media Coverage and the Timing of Earnings Announcements (2004)Around-the-Clock Media Covera…Does Market Structure Affect the Immediacy of Stock Price Responses to News? (2002)Does Market Structure Affect …An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock (1997)An Analysis of Prices, Bid/As…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)An Empirical Evaluation of Accounting Income Numbers (1968)Risk and return: The case of merging firms (1974)Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)TESTING A CAUSAL MODEL OF CORPORATE RISK TAKING AND PERFORMANCE. (1991)Capital markets research in accounting (2001)The impact of corporate social responsibility on investment recommendations: Analysts' perceptions and shifting institutional logics (2014)Dividend Policy under Asymmetric Information (1985)Positive Accounting Theory (1985)Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings (1987)Information in prices about future earnings (1992)Information Uncertainty and Analyst Forecast Behavior* (2006)Financial statement analysis (2007)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Market efficiency in real time (2002)Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆ (2009)News Trading and Speed (2015)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)The Information Content of Annual Earnings Announcements (1968)On the Impossibility of Informationally Efficient Markets (1980)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2007)Asset pricing and the bid-ask spread (1986)U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)Is There Private Information in the FX Market? The Tokyo Experiment (1998)The Cross-Section of Expected Trading Activity (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)An investigation of insider trading profits in the Spanish stock market (2002)Information Flow and Liquidity around Anticipated and Unanticipated Dividend Announcements* (2006)Informed trading around acquisitions: Evidence from corporate bonds (2013)Rational Expectations and the Theory of Price Movements (1961)Forecasting and Planning: An Evaluation (1981)Earnings forecasting research: its implications for capital markets research (1993)The implied cost of capital: A new approach (2011)Differences of Opinion Make a Horse Race (1993)Order Flow and Liquidity around NYSE Trading Halts (2000)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Market structure, fragmentation, and market quality (2006)
this work references cited by second hop

References

  • 1986Stock return variances1,813 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1982Financial analysts' forecasts of earnings577 cited
  • 1978THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS485 cited
  • 1984The intraday speed of adjustment of stock prices to earnings and dividend announcements436 cited
  • 1987An evaluation of alternative proxies for the market's assessment of unexpected earnings401 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts178 cited
  • 1992The Stock Market Response to Earnings Announcements Released During Trading versus Nontrading Periods115 cited

Cited by

  • 1997An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock107 cited
  • 2004The Effects of Inflation News on High Frequency Stock Returns107 cited
  • 2012Information Content of Earnings Announcements: Evidence from After-Hours Trading102 cited
  • 2004The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis94 cited
  • 2011Foreign News and Spillovers in Emerging European Stock Markets

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85 cited
  • 2010Judicial Discretion in Corporate Bankruptcy84 cited
  • 2009Renegotiation of cash flow rights in the sale of VC-backed firms76 cited
  • 2004Around-the-Clock Media Coverage and the Timing of Earnings Announcements76 cited
  • 2007Overnight information and stochastic volatility: A study of European and US stock exchanges75 cited
  • 2013Overnight stock returns and realized volatility68 cited
  • 2002Does Market Structure Affect the Immediacy of Stock Price Responses to News?63 cited
  • 2009Out-of-Court Restructuring versus Formal Bankruptcy in a Non-Interventionist Bankruptcy Setting61 cited
  • 2012Contractual Resolutions of Financial Distress53 cited
  • 2014Modeling fitting-function-based fuzzy time series patterns for evolving stock index forecasting48 cited
  • 2004Zooming in on Liquidity43 cited
  • 2012Overnight public information, order placement, and price discovery during the pre-opening period37 cited