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A Better Measure of Institutional Informed Trading
16 references·1 citing·22 second hop
A Better Measure of Institutional Informed Trading (2015)A Better Measure of Institutional Informe…Detecting Earnings Management (2012)Detecting Earnings ManagementThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Performance matched discretionary accrual measures (2005)Performance matched discretio…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors (2002)The Quality of Accruals and E…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Detecting Earnings Management. (1995)Detecting Earnings Management.Earnings Management During Import Relief Investigations (1991)Earnings Management During Im…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Effect of Social Media on Corporate Innovation: Evidence from Seeking Alpha Coverage (2024)The Effect of Social Media on…Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)The economic implications of corporate financial reporting (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Asset pricing with liquidity risk (2005)Experimental and Quasi-Experimental Designs for Research (1963)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)A review of archival auditing research (2014)Earnings management and investor protection: an international comparison (2003)Earnings Management through Real Activities Manipulation (2003)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)A five-factor asset pricing model (2014)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Earnings Management During Import Relief Investigations8,369 cited
  • 2005Performance matched discretionary accrual measures6,963 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1995Detecting Earnings Management.6,532 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2002The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors5,163 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 2012Detecting Earnings Management

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  • 2024The Effect of Social Media on Corporate Innovation: Evidence from Seeking Alpha Coverage17 cited