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Dark Pool Trading and Information Acquisition
16 references·5 citing·38 second hop
Dark Pool Trading and Information Acquisition (2021)Dark Pool Trading and Information Acquisi…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Driven to Distraction: Extran…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Price Informativeness and Investment Sensitivity to Stock Price (2006)Price Informativeness and Inv…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior (1992)Tests of Analysts' Overreacti…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…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…Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Information acquisition costs and price informativeness: global evidence (2025)Information acquisition costs…Efficient estimation of bid–ask spreads from open, high, low, and close prices (2024)Efficient estimation of bid–a…Climate shocks, institutional investors, and the information content of stock prices (2024)Climate shocks, institutional…On the Effects of Continuous Trading (2020)On the Effects of Continuous …Dark Trading Volume and Market Quality: A Natural Experiment (2018)Dark Trading Volume and Marke…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)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)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)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)Law and Finance (1998)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)R2 around the world: New theory and new tests☆ (2005)Does board gender diversity improve the informativeness of stock prices? (2011)The Principles of Psychology (1891)The Framing of Decisions and the Psychology of Choice (1981)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Inattention and Friday Earnings Announcements (2009)Innovative efficiency and stock returns (2012)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Financing Constraints and Corporate Investment (1988)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)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News1,539 cited
  • 2006Price Informativeness and Investment Sensitivity to Stock Price1,492 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior

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1,003 cited
  • 2007Which Shorts Are Informed?966 cited
  • Cited by

    • 2024Climate shocks, institutional investors, and the information content of stock prices42 cited
    • 2020On the Effects of Continuous Trading38 cited
    • 2024Efficient estimation of bid–ask spreads from open, high, low, and close prices28 cited
    • 2018Dark Trading Volume and Market Quality: A Natural Experiment28 cited
    • 2025Information acquisition costs and price informativeness: global evidence26 cited