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Informed trading and the price impact of block trades: A high frequency trading analysis
16 references·0 citing·36 second hop
Informed trading and the price impact of block trades: A high frequency trading analysis (2016)Informed trading and the price impact of …High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Are Insider Trades Informative? (2001)Are Insider Trades Informativ…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Momentum Strategies (1996)Momentum StrategiesMarket microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimating the components of the bid/ask spread (1988)Estimating the components of …The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…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)Using daily stock returns (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Does Algorithmic Trading Improve Liquidity? (2011)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Capital markets research in accounting (2001)Information and the Cost of Capital (2004)Asset pricing with liquidity risk (2005)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1996Momentum Strategies1,491 cited
  • 2001Are Insider Trades Informative?1,229 cited

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  • 2014High-Frequency Trading and Price Discovery1,185 cited
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