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Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market
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Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market (2018)Information asymmetry, cluster trading, a…Monitoring: Which institutions matter? (2007)Monitoring: Which institution…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…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…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)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)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Noise Trader Risk in Financial Markets (1990)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Efficient Capital Markets: II (1991)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2007Monitoring: Which institutions matter?1,870 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2007Liquidity and Market Efficiency984 cited

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  • 1992Long-Lived Private Information and Imperfect Competition802 cited
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