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Market Microstructure and the Ex-Date Return
10 references·9 citing·45 second hop
Market Microstructure and the Ex-Date Return (1994)Market Microstructure and the Ex-Date Ret…The Effects of Splitting on the Ex: A Microstructure Reconciliation (1992)The Effects of Splitting on t…An Investigation of Market Microstructure Impacts on Event Study Returns (1991)An Investigation of Market Mi…The Effects of Stock Splits on Bid-Ask Spreads (1990)The Effects of Stock Splits o…Trading patterns, bid-ask spreads, and estimated security returns (1989)Trading patterns, bid-ask spr…The Market Reaction to Stock Splits (1987)The Market Reaction to Stock …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…On interpreting security returns during the ex-dividend period (1984)On interpreting security retu…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Management's View of Stock Splits (1980)Management's View of Stock Sp…Liquidity Changes Following Stock Splits (1979)Liquidity Changes Following S…Ex-Day Returns of Stock Distributions: An Anchoring Explanation (2017)Ex-Day Returns of Stock Distr…The Impact of Clientele Changes: Evidence from Stock Splits (2009)The Impact of Clientele Chang…THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA (2007)THE MARKET REACTION TO STOCK …Stock Performance around Share Repurchase Announcements in Germany (2005)Stock Performance around Shar…STOCK SPLITS: MOTIVATIONS AND VALUATION EFFECTS IN THE SPANISH MARKET (2003)STOCK SPLITS: MOTIVATIONS AND…The Market Reaction to Stock Splits — Evidence from Germany (2002)The Market Reaction to Stock …Volatility, autocorrelations, and trading activity after stock splits (2001)Volatility, autocorrelations,…Record Date, When-Issued, and Ex-Date Effects in Stock Splits (2001)Record Date, When-Issued, and…Fragmentation, competition, and limit orders: New evidence from interday spreads (1998)Fragmentation, competition, a…Size-related anomalies and stock return seasonality (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Price Reversals, Bid-Ask Spreads, and Market Efficiency (1990)The prediction of stock returns using financial statement information (1992)Institutions and Individuals at the Turn-of-the-Year (1997)Corporate financing and investment decisions when firms have information that investors do not have (1984)Investment banking, reputation, and the underpricing of initial public offerings (1986)Valuation effects of security offerings and the issuance process (1986)Trading and Manipulation Around Seasoned Equity Offerings (1993)An Empirical Investigation of Short-Selling Activity Prior to Seasoned Equity Offerings (1996)Short Selling Around Seasoned Equity Offerings (2010)The Adjustment of Stock Prices to New Information (1969)Stock returns and the weekend effect (1980)Ex dividend day stock price behavior: discreteness or tax-induced clienteles? (1998)Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998)The Adjustment of Stock Prices to New Information (2003)The Information Content of Annual Earnings Announcements (1968)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Transacting (1968)Stock splits: Signaling or liquidity? The case of ADR ‘solo-splits’ (1996)Stock splits, trading continuity, and the cost of equity capital (2009)Nominal Price Illusion (2013)Asset pricing and the bid-ask spread (1986)Economic Forces and the Stock Market (1986)Stock Splits, Tick Size, and Sponsorship (2000)Information Effects on the Bid-Ask Spread (1983)Stock return variances (1986)The effects of equity issues on ownership structure and stock liquidity: A comparison of rights and public offerings (1997)Number of Shareholders and Stock Prices: Evidence from Japan (1999)Catering through Nominal Share Prices (2009)
this work references cited by second hop

References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1987The Market Reaction to Stock Splits366 cited
  • 1979Liquidity Changes Following Stock Splits326 cited
  • 1984On interpreting security returns during the ex-dividend period296 cited
  • 1989Trading patterns, bid-ask spreads, and estimated security returns288 cited
  • 1990The Effects of Stock Splits on Bid-Ask Spreads214 cited
  • 1980Management's View of Stock Splits213 cited
  • 1991An Investigation of Market Microstructure Impacts on Event Study Returns192 cited
  • 1992The Effects of Splitting on the Ex: A Microstructure Reconciliation146 cited

Cited by

  • 2002The Market Reaction to Stock Splits — Evidence from Germany41 cited
  • 2009The Impact of Clientele Changes: Evidence from Stock Splits37 cited
  • 2001Volatility, autocorrelations, and trading activity after stock splits36 cited
  • 2017Ex-Day Returns of Stock Distributions: An Anchoring Explanation31 cited
  • 2001Record Date, When-Issued, and Ex-Date Effects in Stock Splits31 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1998Fragmentation, competition, and limit orders: New evidence from interday spreads25 cited
  • 2007THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA21 cited
  • 2005Stock Performance around Share Repurchase Announcements in Germany20 cited
  • 2003STOCK SPLITS: MOTIVATIONS AND VALUATION EFFECTS IN THE SPANISH MARKET16 cited