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Volumn 35, Issue 1, 2000, Pages 111-126

Prices as aggregators of private information: Evidence from S&P 500 futures data

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EID: 0039604637     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676241     Document Type: Article
Times cited : (12)

References (14)
  • 1
    • 0002816156 scopus 로고
    • A theory of intraday patterns: Volume and price variability
    • Admati, A. R., and P. Pfleiderer. "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.R.1    Pfleiderer, P.2
  • 2
    • 0003165999 scopus 로고
    • Model specification tests: A simultaneous approach
    • Bera, A. K., and C. M. Jarque. "Model Specification Tests: A Simultaneous Approach." Journal of Econometrics, 20 (1982), 59-82.
    • (1982) Journal of Econometrics , vol.20 , pp. 59-82
    • Bera, A.K.1    Jarque, C.M.2
  • 6
    • 0040898818 scopus 로고    scopus 로고
    • Liquidity, information, and infrequently traded stocks
    • Easley, D.; N. M. Kiefer; and M. O'Hara. "Liquidity, Information, and Infrequently Traded Stocks." Journal of Finance, 51 (1996), 1405-1436.
    • (1996) Journal of Finance , vol.51 , pp. 1405-1436
    • Easley, D.1    Kiefer, N.M.2    O'Hara, M.3
  • 7
    • 0031528688 scopus 로고    scopus 로고
    • One day in the life of a very common stock
    • _. "One Day in the Life of a Very Common Stock." Review of Financial Studies, 10 (1997), 805-835.
    • (1997) Review of Financial Studies , vol.10 , pp. 805-835
  • 9
    • 0345401653 scopus 로고
    • Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten, L. R., and P. R. Milgrom. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics, 14 (1985), 71-100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.R.2
  • 10
    • 0001188867 scopus 로고
    • On the impossibility of efficient markets
    • Grossman, S., and J. E. Stiglitz. "On the Impossibility of Efficient Markets." American Economic Review, 70 (1980), 393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.1    Stiglitz, J.E.2
  • 11
    • 40849105983 scopus 로고
    • Stochastic consumption, risk aversion, and the temporal behavior of asset returns
    • Hansen, L., and K. Singleton. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns." Journal of Political Economy, 91 (1983) 249-265.
    • (1983) Journal of Political Economy , vol.91 , pp. 249-265
    • Hansen, L.1    Singleton, K.2
  • 12
    • 85017108575 scopus 로고
    • Generalized instrumental variables estimation of nonlinear rational expectations models
    • _. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica, 50 (1982), 1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
  • 13
    • 0000088496 scopus 로고
    • On the aggregation of information in asset markets
    • Hellwig, M. "On the Aggregation of Information in Asset Markets." Journal of Economic Theory, 22 (1980), 477-498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.1
  • 14
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, A. S. "Continuous Auctions and Insider Trading." Econometrica, 53 (1985), 1315-1335.
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.S.1


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