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Chapter 17 Microstructure and asset pricing
16 references·1 citing·27 second hop
Chapter 17 Microstructure and asset pricing (2003)Chapter 17 Microstructure and asset prici…Information and the Cost of Capital (2004)Information and the Cost of C…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…ARCH modeling in finance (1992)ARCH modeling in financeStock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…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 …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Measuring the Information Content of Disclosures: The Role of Return Noise (2022)Measuring the Information Con…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)Market Liquidity and Funding Liquidity (2008)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 Cross‐Section of Volatility and Expected Returns (2006)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Asset pricing with liquidity risk (2005)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)A model of investor sentiment /
this work references cited by second hop

References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited

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1987
The Relation Between Price Changes and Trading Volume: A Survey
2,380 cited

Cited by

  • 2022Measuring the Information Content of Disclosures: The Role of Return Noise19 cited