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A comparison of some structural models of private information arrival · Study

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ArticleA comparison of some structural models of private information arrival

Jefferson Duarte2019

OA

Articlegreen2019

A comparison of some structural models of private information arrival

Jefferson Duarte · Edwin Hu · Lance A. Young

82 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1987Price, trade size, and information in securities markets 1991Measuring the Information Content of Stock Trades 1996Liquidity, Information, and Infrequently Traded Stocks 2006Price Informativeness and Investment Sensitivity to Stock Price

Cited by

2018High-Frequency Measures of Informed Trading and Corporate Announcements 2017Identifying Information Asymmetry in Securities Markets 2024Passive Ownership and Price Informativeness 2023Liquidity, Volume, and Order Imbalance Volatility 2020Does Joining the S&P 500 Index Hurt Firms?2017Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

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2019Chasing Private Informationarticle · 11 shared references 1997High frequency data in financial markets: Issues and applicationsarticle · 10 shared references 2012Do Prices Reveal the Presence of Informed Trading?preprint · 10 shared references 2021Informed Trading Intensityarticle · 10 shared references 2017Identifying Information Asymmetry in Securities Marketsarticle · 10 shared references 2004Information-based trading, price impact of trades, and trade autocorrelationarticle · 10 shared references

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Year2019

Typearticle

Published2019-08-09

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations82

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2019.08.005

openalex_workW2942431364

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