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The Information Content of the 1999 Announcement of Funds from Operations Changes for Real Estate Investment Trusts
16 references·1 citing·38 second hop
The Information Content of the 1999 Announcement of Funds from Operations Changes for Real Estate Investment Trusts (2006)The Information Content of the 1999 Annou…Issues in assessing trade execution costs (2003)Issues in assessing trade exe…How Well Do Adverse Selection Components Measure Adverse Selection? (2001)How Well Do Adverse Selection…Do Measures of Investor Sentiment Predict Returns? (1998)Do Measures of Investor Senti…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…Trade Size and Components of the Bid-Ask Spread (1995)Trade Size and Components of …Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms (1983)The Impact of Merger-Related …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Estimation of linear models with crossed-error structure (1974)Estimation of linear models w…The Straight-Line Depreciation is Wanted, Dead or Alive (2007)The Straight-Line Depreciatio…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)Continuous Auctions and Insider Trading (1985)Trade size, order imbalance, and the volatility–volume relation (2000)Analyst Following and Market Liquidity* (2003)Market evidence on the opaqueness of banking firms’ assets (2003)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Disclosure, Liquidity, and the Cost of Capital (1991)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1995Trade Size and Components of the Bid-Ask Spread553 cited
  • 1983The Impact of Merger-Related Regulations on the Shareholders of Acquiring Firms547 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 cited
  • 1998Do Measures of Investor Sentiment Predict Returns?516 cited
  • 1974Estimation of linear models with crossed-error structure478 cited
  • 2003Issues in assessing trade execution costs358 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2001How Well Do Adverse Selection Components Measure Adverse Selection?264 cited
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    • 2007The Straight-Line Depreciation is Wanted, Dead or Alive16 cited