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Illiquidity and Higher Cumulants
16 references·1 citing·44 second hop
Illiquidity and Higher Cumulants (2022)Illiquidity and Higher CumulantsA Demand System Approach to Asset Pricing (2018)A Demand System Approach to A…Demand Reduction and Inefficiency in Multi-Unit Auctions (2014)Demand Reduction and Ineffici…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Towards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Information asymmetry, corpor…Optimal control of execution costs (1998)Optimal control of execution …The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing (1996)Evaluating the Effects of Inc…Market Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…Supply Function Equilibria in Oligopoly under Uncertainty (1989)Supply Function Equilibria in…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Disclosing to Informed Traders (2020)Disclosing to Informed TradersCOUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)Optimal Auction Design (1981)A Theory of Auctions and Competitive Bidding (1982)Putting Auction Theory to Work: The Simultaneous Ascending Auction (2000)Ascending Auctions with Package Bidding (2002)An Efficient Ascending-Bid Auction for Multiple Objects (2004)Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Two-Person Cooperative Games (1953)Price and Quantity Competition in a Differentiated Duopoly (1984)Measuring Duopoly Power in the British Electricity Spot Market (1999)Pass-Through as an Economic Tool: Principles of Incidence under Imperfect Competition (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)International Currencies and Capital Allocation (2019)Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity (2020)Retail trader sophistication and stock market quality: Evidence from brokerage outages (2022)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The economic implications of corporate financial reporting (2005)Revisiting the relation between environmental performance and environmental disclosure: An empirical analysis (2007)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Taming the Factor Zoo: A Test of New Factors (2020)The Pollution Premium (2020)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature7,391 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1989Supply Function Equilibria in Oligopoly under Uncertainty1,384 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 2014Demand Reduction and Inefficiency in Multi-Unit Auctions800 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2018A Demand System Approach to Asset Pricing686 cited
  • 1996Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing650 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 1990Market Liquidity, Hedging, and Crashes

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  • 2020Disclosing to Informed Traders28 cited