-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati A., Pfleiderer P. A theory of intraday patterns. volume and price variability Review of Financial Studies. 1:1988;3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
4
-
-
21844518576
-
Of shepherds, sheep, and the cross-autocorrelations in equity returns
-
Badrinath S.G., Kale J.R., Noe T.H. Of shepherds, sheep, and the cross-autocorrelations in equity returns. The Review of Financial Studies. 8:1995;401-430.
-
(1995)
The Review of Financial Studies
, vol.8
, pp. 401-430
-
-
Badrinath, S.G.1
Kale, J.R.2
Noe, T.H.3
-
5
-
-
0001287787
-
The effect of block transactions on share prices: Australian evidence
-
Ball R., Finn F.J. The effect of block transactions on share prices. Australian evidence Journal of Banking and Finance. 13:1989;397-419.
-
(1989)
Journal of Banking and Finance
, vol.13
, pp. 397-419
-
-
Ball, R.1
Finn, F.J.2
-
6
-
-
0042330857
-
Private information and the costs of trading around quarterly earnings announcements
-
Barclay M.J., Dunbar C.G. Private information and the costs of trading around quarterly earnings announcements. Financial Analysts Journal. 52:1996;75-84.
-
(1996)
Financial Analysts Journal
, vol.52
, pp. 75-84
-
-
Barclay, M.J.1
Dunbar, C.G.2
-
8
-
-
0042330859
-
-
Unpublished, MIT, Cambridge
-
Bertsimas, D., Lo, A., 1996. Optimal control of execution costs. Unpublished, MIT, Cambridge.
-
(1996)
Optimal Control of Execution Costs
-
-
Bertsimas, D.1
Lo, A.2
-
9
-
-
0010697284
-
Firm characteristics and analyst following
-
Bhusan R. Firm characteristics and analyst following. Journal of Accounting and Economics. 11:1989;255-274.
-
(1989)
Journal of Accounting and Economics
, vol.11
, pp. 255-274
-
-
Bhusan, R.1
-
11
-
-
0001872435
-
Building blocks. An introduction to block trading
-
Burdette K., O'Hara M. Building blocks. An introduction to block trading. Journal of Banking and Finance. 11:1987;193-212.
-
(1987)
Journal of Banking and Finance
, vol.11
, pp. 193-212
-
-
Burdette, K.1
O'Hara, M.2
-
12
-
-
0031522109
-
An analysis of prices, bid/ask spreads and bid and ask depths surrounding Ivan Boesky's illegal trading in Carnation's stock
-
Chakravarty S., McConnell J.J. An analysis of prices, bid/ask spreads and bid and ask depths surrounding Ivan Boesky's illegal trading in Carnation's stock. Financial Management. 26:1997;18-34.
-
(1997)
Financial Management
, vol.26
, pp. 18-34
-
-
Chakravarty, S.1
McConnell, J.J.2
-
14
-
-
0042831904
-
-
Unpublished, Federal Reserve Bank of New York
-
Chakravarty, S., Sarkar, A., 1998. An analysis of brokers' trading, with applications to order flow internalization and off-exchange block sales. Unpublished, Federal Reserve Bank of New York.
-
(1998)
An Analysis of Brokers' Trading, with Applications to Order Flow Internalization and Off-exchange Block Sales
-
-
Chakravarty, S.1
Sarkar, A.2
-
15
-
-
43949169695
-
Institutional trades and intra-day stock price behavior
-
Chan L., Lakonishok J. Institutional trades and intra-day stock price behavior. Journal of Financial Economics. 33:1993;173-199.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 173-199
-
-
Chan, L.1
Lakonishok, J.2
-
16
-
-
84993899497
-
The behavior of stock prices around institutional trades
-
Chan L., Lakonishok J. The behavior of stock prices around institutional trades. Journal of Finance. 50:1995;1147-1174.
-
(1995)
Journal of Finance
, vol.50
, pp. 1147-1174
-
-
Chan, L.1
Lakonishok, J.2
-
18
-
-
84977708335
-
The reaction of investors and stock prices to insider trading
-
Cornell B., Sirri E. The reaction of investors and stock prices to insider trading. Journal of Finance. 47:1992;1031-1059.
-
(1992)
Journal of Finance
, vol.47
, pp. 1031-1059
-
-
Cornell, B.1
Sirri, E.2
-
19
-
-
0010940821
-
Price, trade size and information in securities markets
-
Easley D., O'Hara M. Price, trade size and information in securities markets. Journal of Financial Economics. 19:1987;69-90.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 69-90
-
-
Easley, D.1
O'Hara, M.2
-
20
-
-
84977716725
-
Time and the process of security price adjustment
-
Easley D., O'Hara M. Time and the process of security price adjustment. Journal of Finance. 47:1992;577-606.
-
(1992)
Journal of Finance
, vol.47
, pp. 577-606
-
-
Easley, D.1
O'Hara, M.2
-
21
-
-
0000289133
-
Adverse selection and large trade volume: The implications for market efficiency
-
Easley D., O'Hara M. Adverse selection and large trade volume. the implications for market efficiency Journal of Financial and Quantitative Analysis. 27:1992;185-208.
-
(1992)
Journal of Financial and Quantitative Analysis
, vol.27
, pp. 185-208
-
-
Easley, D.1
O'Hara, M.2
-
22
-
-
21144476722
-
The informational role of upstairs and downstairs trading
-
Grossman S.J. The informational role of upstairs and downstairs trading. Journal of Business. 65:1992;509-528.
-
(1992)
Journal of Business
, vol.65
, pp. 509-528
-
-
Grossman, S.J.1
-
23
-
-
0000272993
-
A test of the extended functional fixation hypothesis
-
Hand J.R.M. A test of the extended functional fixation hypothesis. Accounting Review. 65:1990;740-763.
-
(1990)
Accounting Review
, vol.65
, pp. 740-763
-
-
Hand, J.R.M.1
-
24
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck J. Measuring the information content of stock trades. Journal of Finance. 46:1991;179-207.
-
(1991)
Journal of Finance
, vol.46
, pp. 179-207
-
-
Hasbrouck, J.1
-
25
-
-
0001740585
-
The summary informativeness of stock trades: An econometric analysis
-
Hasbrouck J. The summary informativeness of stock trades. an econometric analysis Review of Financial Studies. 4:1991;571-595.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 571-595
-
-
Hasbrouck, J.1
-
26
-
-
0003969985
-
Using the TORQ database
-
Hasbrouck, J., 1992. Using the TORQ database. NYSE Working Paper 92-105.
-
(1992)
NYSE Working Paper
, vol.92-105
-
-
Hasbrouck, J.1
-
27
-
-
0041187662
-
New York Stock Exchange systems and trading procedures
-
Hasbrouck, J., Sofianos, G., Sosebee, D., 1993. New York Stock Exchange systems and trading procedures. NYSE Working Paper 93-101.
-
(1993)
NYSE Working Paper
, vol.93-101
-
-
Hasbrouck, J.1
Sofianos, G.2
Sosebee, D.3
-
29
-
-
0000822840
-
The effect of large block transactions on security prices: A cross sectional analysis
-
Holthausen R., Leftwich R., Mayers D. The effect of large block transactions on security prices. a cross sectional analysis Journal of Financial Economics. 19:1987;237-267.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 237-267
-
-
Holthausen, R.1
Leftwich, R.2
Mayers, D.3
-
30
-
-
21344495701
-
Market microstructure and stock return predictions
-
Huang R.D., Stoll H.R. Market microstructure and stock return predictions. Review of Financial Studies. 7:1994;179-213.
-
(1994)
Review of Financial Studies
, vol.7
, pp. 179-213
-
-
Huang, R.D.1
Stoll, H.R.2
-
31
-
-
0030537136
-
The upstairs market for large-block transactions: Analysis and measurement of price effects
-
Keim D.B., Madhavan A. The upstairs market for large-block transactions. analysis and measurement of price effects Review of Financial Studies. 9:1996;1-36.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 1-36
-
-
Keim, D.B.1
Madhavan, A.2
-
32
-
-
0032263361
-
Who trades around the ex-dividend day? Evidence from NYSE audit file data
-
Koski J.L., Scruggs J.T. Who trades around the ex-dividend day? Evidence from NYSE audit file data. Financial Management. 27:1998;58-72.
-
(1998)
Financial Management
, vol.27
, pp. 58-72
-
-
Koski, J.L.1
Scruggs, J.T.2
-
33
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle A.S. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1336.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1336
-
-
Kyle, A.S.1
-
34
-
-
84977730741
-
Inferring trade direction from intradaily data
-
Lee C.M.C., Ready M. Inferring trade direction from intradaily data. Journal of Finance. 46:1991;733-746.
-
(1991)
Journal of Finance
, vol.46
, pp. 733-746
-
-
Lee, C.M.C.1
Ready, M.2
-
36
-
-
0001173683
-
When are contrarian profits due to stock market overreaction?
-
Lo A.W., MacKinlay A.C. When are contrarian profits due to stock market overreaction? Review of Financial Studies. 3:1990;175-206.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 175-206
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
38
-
-
84993843615
-
An analysis of daily changes in specialists inventories and quotations
-
Madhavan A., Smidt S. An analysis of daily changes in specialists inventories and quotations. Journal of Finance. 48:1993;1595-1628.
-
(1993)
Journal of Finance
, vol.48
, pp. 1595-1628
-
-
Madhavan, A.1
Smidt, S.2
-
39
-
-
84977702377
-
An empirical analysis of illegal insider trading
-
Meulbroek L. An empirical analysis of illegal insider trading. Journal of Finance. 47:1992;1661-1699.
-
(1992)
Journal of Finance
, vol.47
, pp. 1661-1699
-
-
Meulbroek, L.1
-
41
-
-
0013094063
-
-
Cambridge MA: Blackwell Publishers
-
O'Hara M. Market Microstructure. 1995;Blackwell Publishers, Cambridge MA.
-
(1995)
Market Microstructure
-
-
O'Hara, M.1
-
43
-
-
0033433481
-
The specialist's discretion: Stopped orders and price improvement
-
Ready M. The specialist's discretion. stopped orders and price improvement Review of Financial Studies. 12:1999;1075-1112.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 1075-1112
-
-
Ready, M.1
-
44
-
-
84977722029
-
Equilibrium block trading and asymmetric information
-
Seppi D.J. Equilibrium block trading and asymmetric information. Journal of Finance. 45:1990;73-94.
-
(1990)
Journal of Finance
, vol.45
, pp. 73-94
-
-
Seppi, D.J.1
-
45
-
-
0031256715
-
Return autocorrelation and institutional investors
-
Sias R.W., Starks L.T. Return autocorrelation and institutional investors. Journal of Financial Economics. 46:1997;103-131.
-
(1997)
Journal of Financial Economics
, vol.46
, pp. 103-131
-
-
Sias, R.W.1
Starks, L.T.2
-
46
-
-
0039415040
-
Investor sophistication and market earnings expectation
-
Walther B.R. Investor sophistication and market earnings expectation. Journal of Accounting Research. 35:1997;157-179.
-
(1997)
Journal of Accounting Research
, vol.35
, pp. 157-179
-
-
Walther, B.R.1
|