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Strong-Form Efficiency with Monopolistic Insiders
16 references·11 citing·44 second hop
Strong-Form Efficiency with Monopolistic Insiders (2006)Strong-Form Efficiency with Monopolistic …Information in Securities Markets: Kyle Meets Glosten and Milgrom (2004)Information in Securities Mar…Strategic Trading in a Dynamic Noisy Market (2001)Strategic Trading in a Dynami…Stock price volatility and equity premium (2001)Stock price volatility and eq…Capital markets research in accounting (2001)Capital markets research in a…Imperfect Competition among Informed Traders (2000)Imperfect Competition among I…Strategic Trading and Welfare in a Dynamic Market (1999)Strategic Trading and Welfare…Long-lived information and intraday patterns (1998)Long-lived information and in…Strategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…On Intraday Risk Premia (1995)On Intraday Risk PremiaA Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …COVID-19, bitcoin market efficiency, herd behaviour (2021)COVID-19, bitcoin market effi…Strategic trading and unobservable information acquisition (2020)Strategic trading and unobser…Insider trading and shareholder investment horizons (2019)Insider trading and sharehold…Competition in the stock market with asymmetric information (2016)Competition in the stock mark…Those Who Know Most: Insider Trading in Eighteenth-Century Amsterdam (2015)Those Who Know Most: Insider …Feedback Trading between Fundamental and Nonfundamental Information (2014)Feedback Trading between Fund…Theories of Liquidity (2012)Theories of LiquidityNews Trading and Speed (2012)News Trading and SpeedMarket Liquidity -- Theory and Empirical Evidence (2012)Market Liquidity -- Theory an…Speculative dynamics (2009)Speculative dynamicsCorporate insider trading: A literature review (2009)Corporate insider trading: A …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)On the Impossibility of Informationally Efficient Markets (1980)Liquidity Risk and Expected Stock Returns (2001)The High‐Volume Return Premium (2001)Liquidity and Asset Prices (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Asymmetric Information and Options (1993)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Asset Pricing under Asymmetric Information (2001)Brownian Motion and Stochastic Calculus (2007)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)What is the Intrinsic Value of the Dow? (1999)Dynamic Volume-Return Relation of Individual Stocks (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Differences of Opinion Make a Horse Race (1993)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Stock price reaction to public and private information (2006)Stochastic Integration and Differential Equations (1990)Continuous Martingales and Brownian Motion (1991)Public Disclosure and Dissimulation of Insider Trades (2001)Informed traders and limit order markets (2009)News Trading and Speed (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2001Capital markets research in accounting2,575 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others507 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 2000Imperfect Competition among Informed Traders329 cited
  • 2001Stock price volatility and equity premium298 cited
  • 1999Strategic Trading and Welfare in a Dynamic Market237 cited
  • 2004Information in Securities Markets: Kyle Meets Glosten and Milgrom208 cited
  • 1998Long-lived information and intraday patterns161 cited
  • 2001Strategic Trading in a Dynamic Noisy Market143 cited
  • 1995On Intraday Risk Premia

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  • 2020Strategic trading and unobservable information acquisition42 cited
  • 2014Feedback Trading between Fundamental and Nonfundamental Information25 cited
  • 2016Competition in the stock market with asymmetric information21 cited
  • 2009Speculative dynamics20 cited
  • 2009Corporate insider trading: A literature review17 cited