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INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID–ASK SPREAD
16 references·3 citing·36 second hop
INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID–ASK SPREAD (2008)INSIDER TRADING, REGULATION, AND THE COMP…The World Price of Insider Trading (2002)The World Price of Insider Tr…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Are Insider Trades Informative? (2001)Are Insider Trades Informativ…Investor protection and corporate governance (2000)Investor protection and corpo…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Stealth trading and volatility (1993)Stealth trading and volatilityInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Estimating the components of the bid/ask spread (1988)Estimating the components of …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…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Cost of Transacting (1968)The Cost of TransactingContinuous disclosure compliance: does corporate governance matter? (2014)Continuous disclosure complia…Do Criminal Sanctions Deter Insider Trading? (2013)Do Criminal Sanctions Deter I…Public regulatory reform and management earnings forecasts in a low private litigation environment (2010)Public regulatory reform and …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Asset pricing and the bid-ask spread (1986)Market microstructure: A survey (2000)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Problem of Social Cost (1960)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Corporate Governance and Equity Prices (2003)Earnings management and investor protection: an international comparison (2003)Law, finance, and economic growth in China (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Legal Determinants of External Finance (1997)Liquidity of emerging markets (2005)Insider trading in credit derivatives☆ (2007)Creditor Rights, Enforcement, and Bank Loans (2009)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Noise Trader Risk in Financial Markets (1990)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2000Investor protection and corporate governance6,847 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2002The World Price of Insider Trading1,233 cited
  • 2001Are Insider Trades Informative?1,229 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1993Stealth trading and volatility948 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?

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  • 2014Continuous disclosure compliance: does corporate governance matter?30 cited
  • 2010Public regulatory reform and management earnings forecasts in a low private litigation environment28 cited
  • 2013Do Criminal Sanctions Deter Insider Trading?15 cited