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The effectiveness of the order-splitting strategy: an analysis of unique data
14 references·10 citing·34 second hop
The effectiveness of the order-splitting strategy: an analysis of unique data (2011)The effectiveness of the order-splitting …Stealth trading: The case of the Tokyo Stock Exchange (2010)Stealth trading: The case of …Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange (2009)Strategic order splitting, or…INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME? (2009)INTRADAY STEALTH TRADING: WHI…Informed trading in the index option market: The case of KOSPI 200 options (2008)Informed trading in the index…Stealth Trading in Options Markets (2007)Stealth Trading in Options Ma…An analysis of trade-size clustering and its relation to stealth trading☆ (2007)An analysis of trade-size clu…Trading activity and stock price volatility: evidence from the London Stock Exchange (2003)Trading activity and stock pr…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…The information content of the trading process (1997)The information content of th…Stealth trading and volatility (1993)Stealth trading and volatilityInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimating the components of the bid/ask spread (1988)Estimating the components of …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The components of the bid‐ask spread: Evidence from the corn futures market (2018)The components of the bid‐ask…Foreign investor trading and information asymmetry: evidence from a leading emerging market (2016)Foreign investor trading and …Market overreaction and investment strategies (2015)Market overreaction and inves…INFORMATION CONTENT OF INTER-TRANSACTION TIME: A STRUCTURAL APPROACH (2015)INFORMATION CONTENT OF INTER-…Effect of the subprime mortgage crisis on a leading emerging market (2015)Effect of the subprime mortga…Common deviation and regime-dependent dynamics in the index derivatives markets (2015)Common deviation and regime-d…The volatility index and style rotation: Evidence from the Korean stock market and VKOSPI (2014)The volatility index and styl…What types of investors generate the two-phase phenomenon? (2013)What types of investors gener…Spread and depth adjustment process: an analysis of high-quality microstructure data (2013)Spread and depth adjustment p…Intraday price dynamics in spot and derivatives markets (2013)Intraday price dynamics in sp…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)A Theory of Intraday Patterns: Volume and Price Variability (1988)Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)The Dynamics of Institutional and Individual Trading (2003)When Does Information Asymmetry Affect the Cost of Capital? (2010)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Price discovery and investor structure in stock index futures (2010)The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives (2013)Investor sentiment, trading behavior and stock returns (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? (2008)Clean Sweep: Informed Trading through Intermarket Sweep Orders (2012)The Strategy of Conflict (1960)Investor Competition over Information and the Pricing of Information Asymmetry (2011)An Empirical Analysis of Market Segmentation on U.S. Equity Markets (2017)Financial analysts and information-based trade (1998)How Stock Splits Affect Trading: A Microstructure Approach (2001)Factoring Information into Returns (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)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
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1993Stealth trading and volatility948 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1997The information content of the trading process364 cited
  • 2007An analysis of trade-size clustering and its relation to stealth trading☆189 cited
  • 2008Informed trading in the index option market: The case of KOSPI 200 options174 cited
  • 2007Stealth Trading in Options Markets129 cited
  • 2003Trading activity and stock price volatility: evidence from the London Stock Exchange84 cited
  • 2009Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange60 cited
  • 2009INTRADAY STEALTH TRADING: WHICH TRADES MOVE PRICES DURING PERIODS OF HIGH VOLUME?56 cited
  • 2010Stealth trading: The case of the Tokyo Stock Exchange36 cited

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  • 2015Common deviation and regime-dependent dynamics in the index derivatives markets

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35 cited
  • 2016Foreign investor trading and information asymmetry: evidence from a leading emerging market35 cited
  • 2015Effect of the subprime mortgage crisis on a leading emerging market34 cited
  • 2013What types of investors generate the two-phase phenomenon?29 cited
  • 2018The components of the bid‐ask spread: Evidence from the corn futures market26 cited
  • 2014The volatility index and style rotation: Evidence from the Korean stock market and VKOSPI24 cited
  • 2015Market overreaction and investment strategies23 cited
  • 2013Spread and depth adjustment process: an analysis of high-quality microstructure data21 cited
  • 2015INFORMATION CONTENT OF INTER-TRANSACTION TIME: A STRUCTURAL APPROACH18 cited
  • 2013Intraday price dynamics in spot and derivatives markets18 cited