One day in the life of a very common stock

Review of Financial Studies

Volumn 10, Issue 3, 1997, Pages 805-835

  Easley, David ^b   Kiefer, Nicholas M ^b   O'Hara, Maureen ^a  

^a The Samuel Curtis Johnson Graduate School of Management   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031528688     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/10.3.805     Document Type: Article

References (12)

1. Bernhardt, D., and E. Hughson, 1993, "Intraday Trade in Dealership Markets," working paper, Queens University.
2. Clark, P., 1973, "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, 41, 135-155.
3. Devine, T. J., and N. M. Kiefer, 1991, Empirical Labor Economics: The Search Approach, Oxford University Press, New York.
4. Easley, D., N. Kiefer, and M. O'Hara, 1997, "The Information Content of the Trading Process;" forthcoming in Journal of Empirical Finance.
5. Easley, D., and M. O'Hara, 1987, "Price, Trade Size, and Information in Securities Markets," Journal of Financial Economics, 19, 69-90.
6. Easley, D., and M. O'Hara, 1992, "Time and the Process of Security Price Adjustment," Journal of Finance, 47, 577-604.
7. Foster, D. F., and S. Vishwanathan, 1995, "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business and Economic Statistics, 13, 379-396.
8. Glosten, L., and P. Milgrom, 1985, "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 13, 71-100.
9. Jones, C., G. Kaul, and M. Lipson, 1994, "Transactions, Volume, and Volatility," Review of Financial Studies, 7, 631-651.
10. Kyle, A. P., 1985, "Continuous Auctions and Insider Trading," Econometrica, 53, 1315-1336.
11. Lee, C., and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance, 733-746.
12. Moore, P. G., 1978, "Nonparametric Statistics: Runs," in W. J. Kruskal and J. Tanur (eds.), International Encyclopedia of Statistics, Free Press, New York, pp. 655-651.