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A comparison of some structural models of private information arrival
16 references·8 citing·38 second hop
A comparison of some structural models of private information arrival (2019)A comparison of some structural models of…Decoding Inside Information (2012)Decoding Inside InformationWhich Firms Follow the Market? An Analysis of Corporate Investment Decisions (2010)Which Firms Follow the Market…Why is PIN priced?☆ (2008)Why is PIN priced?☆Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …One Day in the Life of a Very Common Stock (1997)One Day in the Life of a Very…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …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…Passive Ownership and Price Informativeness (2024)Passive Ownership and Price I…Liquidity, Volume, and Order Imbalance Volatility (2023)Liquidity, Volume, and Order …Climate events and return comovement (2022)Climate events and return com…Does Joining the S&P 500 Index Hurt Firms? (2020)Does Joining the S&P 500 Inde…Do Managers Learn from Institutional Investors Through Direct Interactions? (2020)Do Managers Learn from Instit…High-Frequency Measures of Informed Trading and Corporate Announcements (2018)High-Frequency Measures of In…Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic (2017)Information Acquisition and E…Identifying Information Asymmetry in Securities Markets (2017)Identifying Information Asymm…Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)The Structure of Scientific Revolutions (1963)Breadth of ownership and stock returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Disagreement and the Stock Market (2007)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)An Intertemporal Capital Asset Pricing Model (1973)The relationship between return and market value of common stocks (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Liquidity Risk and Expected Stock Returns (2001)Dynamic Volume-Return Relation of Individual Stocks (2002)Understanding commonality in liquidity around the world (2011)Financing Constraints and Corporate Investment (1988)The Cross-Section of Expected Stock Returns (1992)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)The Information Role of Conservatism (2008)Intangible capital and the investment-q relation (2016)The impact of environmental, social, and governance disclosure on firm value: The role of CEO power (2017)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)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 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
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory694 cited
  • 2012Decoding Inside Information683 cited
  • 1997One Day in the Life of a Very Common Stock634 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 2010Which Firms Follow the Market? An Analysis of Corporate Investment Decisions396 cited

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  • 2008Why is PIN priced?☆377 cited
  • Cited by

    • 2018High-Frequency Measures of Informed Trading and Corporate Announcements75 cited
    • 2017Identifying Information Asymmetry in Securities Markets67 cited
    • 2024Passive Ownership and Price Informativeness44 cited
    • 2023Liquidity, Volume, and Order Imbalance Volatility42 cited
    • 2020Does Joining the S&P 500 Index Hurt Firms?36 cited
    • 2017Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic36 cited
    • 2022Climate events and return comovement30 cited
    • 2020Do Managers Learn from Institutional Investors Through Direct Interactions?24 cited