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A Bias in Closing Prices: The Case of the When-Issued Pricing Anomaly
10 references·0 citing·46 second hop
A Bias in Closing Prices: The Case of the When-Issued Pricing Anomaly (1995)A Bias in Closing Prices: The Case of the…Long-Term Market Overreaction or Biases in Computed Returns? (1993)Long-Term Market Overreaction…EMPIRICAL EVIDENCE ON THE IMPACT OF THE BID‐ASK SPREAD ON THE CHARACTERISTICS OF CRSP DAILY RETURNS (1992)EMPIRICAL EVIDENCE ON THE IMP…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES (1991)HOURLY RETURNS, VOLUME, TRADE…Components of short-horizon individual security returns (1991)Components of short-horizon i…An Investigation of Market Microstructure Impacts on Event Study Returns (1991)An Investigation of Market Mi…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Trading patterns, bid-ask spreads, and estimated security returns (1989)Trading patterns, bid-ask spr…The Pricing of When-Issued Common Stock: A Note (1983)The Pricing of When-Issued Co…Implications of Microstructure Theory for Empirical Research on Stock Price Behavior (1980)Implications of Microstructur…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)Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)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)The Expiration of IPO Share Lockups (2001)The Determinants of Underpricing for Seasoned Equity Offers (2003)Short Selling Around Seasoned Equity Offerings (2010)Stock returns and the weekend effect (1980)A transaction data study of weekly and intradaily patterns in stock returns (1986)A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)High frequency data in financial markets: Issues and applications (1997)Optimal trading strategy and supply/demand dynamics (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk measurement when shares are subject to infrequent trading (1979)The Dynamics of Dealer Markets Under Competition (1983)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Behavior of Stock-Market Prices (1965)Estimating betas from nonsynchronous data (1977)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)A New Estimate of Transaction Costs (1999)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Capital markets research in accounting (2001)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)The Cost of Transacting (1968)Measuring the Information Content of Stock Trades (1991)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Market microstructure: A survey (2000)Filter Rules and Stock-Market Trading (1966)Biases in computed returns (1983)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange (1998)The January Effect is not Driven by Tax Loss Selling (1998)Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets (2011)The valuation effects of stock splits and stock dividends (1984)Reverse Splits and Shareholder Wealth: The Impact of Commissions (1985)Stock splits, stock prices, and transaction costs (1988)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
  • 1989Trading patterns, bid-ask spreads, and estimated security returns288 cited
  • 1991An Investigation of Market Microstructure Impacts on Event Study Returns192 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited
  • 1991Components of short-horizon individual security returns123 cited
  • 1991HOURLY RETURNS, VOLUME, TRADE SIZE, AND NUMBER OF TRADES57 cited
  • 1983The Pricing of When-Issued Common Stock: A Note24 cited
  • 1992EMPIRICAL EVIDENCE ON THE IMPACT OF THE BID‐ASK SPREAD ON THE CHARACTERISTICS OF CRSP DAILY RETURNS22 cited

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