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Noise trading and the price formation process
16 references·1 citing·24 second hop
Noise trading and the price formation process (2007)Noise trading and the price formation pro…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Market microstructure theory (1995)Market microstructure theorySpreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Estimating 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…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…The Cost of Transacting (1968)The Cost of TransactingDoes Noise Signal Affect Flipping Activities? (2009)Does Noise Signal Affect Flip…Using daily stock returns (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Information and the Cost of Capital (2004)The theory and practice of econometrics (1986)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Liquidity Risk and Expected Stock Returns (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Asset pricing with liquidity risk (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)The Cross-Section of Expected Stock Returns (1992)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Networks: Between markets and hierarchies (1986)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1995Market microstructure theory1,307 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,204 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 2002

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Order Flow and Exchange Rate Dynamics
957 cited

Cited by

  • 2009Does Noise Signal Affect Flipping Activities?18 cited