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Imperfect Information and Cross-Autocorrelation Among Stock Prices
16 references·16 citing·38 second hopsampled
Imperfect Information and Cross-Autocorrelation Among Stock Prices (1993)Imperfect Information and Cross-Autocorre…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Stock return variances (1986)Stock return variancesContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets (1985)A Noisy Rational Expectations…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …Dealership market (1980)Dealership marketRisk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…Some New Stock-Market Indexes (1966)Some New Stock-Market IndexesThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Horizon Effects in Average Returns: The Role of Slow Information Diffusion (2016)Horizon Effects in Average Re…Strategic Cross-Trading in the U.S. Stock Market (2013)Strategic Cross-Trading in th…Informed Trading and Portfolio Returns (2012)Informed Trading and Portfoli…Trade openness and the informational efficiency of emerging stock markets (2011)Trade openness and the inform…Liquidity Dynamics and Cross-Autocorrelations (2011)Liquidity Dynamics and Cross-…Return and Volatility Spillovers Between Large and Small Stocks in the UK (2006)Return and Volatility Spillov…Investment restrictions and the cross-border flow of information: Some empirical evidence (2006)Investment restrictions and t…Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand (2006)Foreign equity trading and em…The Effects of Inflation News on High Frequency Stock Returns (2004)The Effects of Inflation News…Stock Price Synchronicity and Analyst Coverage in Emerging Markets (2003)Stock Price Synchronicity and…A CLOSER LOOK AT THE EPPS EFFECT (2003)A CLOSER LOOK AT THE EPPS EFF…Does Market Structure Affect the Immediacy of Stock Price Responses to News? (2002)Does Market Structure Affect …Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange (2000)Trading volume and autocorrel…Trading costs and price discovery across stock index futures and cash markets (1999)Trading costs and price disco…High frequency analysis of lead-lag relationships between financial markets (1997)High frequency analysis of le…Information and Index Arbitrage (1994)Information and Index Arbitra…Stock returns and the weekend effect (1980)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations and the neutrality of money (1972)Noise (1986)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Transmission of Volatility between Stock Markets (1990)Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)The Use of Knowledge in Society (1996)The Adaptive Markets Hypothesis (2004)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1980Dealership market965 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1985A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets779 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1966Some New Stock-Market Indexes

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538 cited

Cited by

  • 1994Information and Index Arbitrage146 cited
  • 1997High frequency analysis of lead-lag relationships between financial markets125 cited
  • 2006Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand110 cited
  • 2004The Effects of Inflation News on High Frequency Stock Returns107 cited
  • 2003Stock Price Synchronicity and Analyst Coverage in Emerging Markets95 cited
  • 2003A CLOSER LOOK AT THE EPPS EFFECT91 cited
  • 2012Informed Trading and Portfolio Returns90 cited
  • 2006Investment restrictions and the cross-border flow of information: Some empirical evidence85 cited
  • 2000Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange78 cited
  • 2013Strategic Cross-Trading in the U.S. Stock Market67 cited
  • 2011Trade openness and the informational efficiency of emerging stock markets63 cited
  • 2002Does Market Structure Affect the Immediacy of Stock Price Responses to News?63 cited
  • 1999Trading costs and price discovery across stock index futures and cash markets62 cited
  • 2006Return and Volatility Spillovers Between Large and Small Stocks in the UK62 cited
  • 2016Horizon Effects in Average Returns: The Role of Slow Information Diffusion59 cited
  • 2011Liquidity Dynamics and Cross-Autocorrelations59 cited