-
1
-
-
0142005536
-
Behavioralize this! International evidence on autocorrelation patterns of stock index and futures returns
-
New York: New York University
-
Ahn, H.-J.; Boudoukh, J.; Richardson, M.; and Whitelaw, R. 1999. Behavioralize this! International evidence on autocorrelation patterns of stock index and futures returns. Working Paper no. 19. New York: New York University.
-
(1999)
Working Paper No. 19
, vol.19
-
-
Ahn, H.-J.1
Boudoukh, J.2
Richardson, M.3
Whitelaw, R.4
-
2
-
-
0009280376
-
Genetic stocks: An old product in a new package
-
Arbel, A. 1985. Genetic stocks: An old product in a new package. Journal of Portfolio Management 11 (Summer): 4-13.
-
(1985)
Journal of Portfolio Management
, vol.11
, Issue.SUMMER
, pp. 4-13
-
-
Arbel, A.1
-
3
-
-
0038957302
-
Imperfect competition among informed traders
-
Back, K.; Cao, H.; and Willard, G. 1998. Imperfect competition among informed traders. Journal of Finance 55 (October): 2117-55.
-
(1998)
Journal of Finance
, vol.55
, Issue.OCTOBER
, pp. 2117-2155
-
-
Back, K.1
Cao, H.2
Willard, G.3
-
6
-
-
0001598837
-
Trading, rational expectations, and the efficient markets hypothesis
-
Bray, M. 1981. Trading, rational expectations, and the efficient markets hypothesis. Econometrica 49, no. 3 (May): 575-96.
-
(1981)
Econometrica
, vol.49
, Issue.3 MAY
, pp. 575-596
-
-
Bray, M.1
-
8
-
-
0001742935
-
Momentum strategies
-
Chan, L. K. C.; Jegadeesh, Narasimhan; and Lakonishok, Josef. 1996. Momentum strategies. Journal of Finance 51, no. 5 (December): 1681-1713.
-
(1996)
Journal of Finance
, vol.51
, Issue.5 DECEMBER
, pp. 1681-1713
-
-
Chan, L.K.C.1
Jegadeesh, N.2
Lakonishok, J.3
-
9
-
-
38249030124
-
Seasonalities in security returns: The case of earnings announcements
-
Chad, V; Jagannathan, R.; and Ofer, A. 1988. Seasonalities in security returns: The case of earnings announcements. Journal of Financial Economics 21, no. 1:101-21.
-
(1988)
Journal of Financial Economics
, vol.21
, Issue.1
, pp. 101-121
-
-
Chad, V.1
Jagannathan, R.2
Ofer, A.3
-
10
-
-
8744258405
-
Investor psychology and security market under- and overreactions
-
Daniel, K.; Hirshleifer, D.; and Subrahmanyam, A. 1998. Investor psychology and security market under- and overreactions. Journal of Finance 53 (December): 1839-85.
-
(1998)
Journal of Finance
, vol.53
, Issue.DECEMBER
, pp. 1839-1885
-
-
Daniel, K.1
Hirshleifer, D.2
Subrahmanyam, A.3
-
11
-
-
84900013243
-
Does the stock market overreact?
-
De Bondt, W., and Thaler, R. 1985. Does the stock market overreact? Journal of Finance 40, no. 3:793-805.
-
(1985)
Journal of Finance
, vol.40
, Issue.3
, pp. 793-805
-
-
De Bondt, W.1
Thaler, R.2
-
12
-
-
84936526743
-
Noise trader risk in financial markets
-
De Long, J. B.; Shleifer, A.; Summers, L. H.; and Waldmann, R. J. 1990. Noise trader risk in financial markets. Journal of Political Economy 98, no. 4 (August): 703-38.
-
(1990)
Journal of Political Economy
, vol.98
, Issue.4 AUGUST
, pp. 703-738
-
-
De Long, J.B.1
Shleifer, A.2
Summers, L.H.3
Waldmann, R.J.4
-
13
-
-
84993850791
-
Arbitrage chains
-
Dow, J., and Gorton, G. 1994, Arbitrage chains. Journal of Finance 49, no. 3:819-49.
-
(1994)
Journal of Finance
, vol.49
, Issue.3
, pp. 819-849
-
-
Dow, J.1
Gorton, G.2
-
14
-
-
84977342566
-
Capital asset prices and the temporal resolution of uncertainty
-
Epstein, L., and Turnbull, S. 1980. Capital asset prices and the temporal resolution of uncertainty. Journal of Finance 35, no. 3:627-43.
-
(1980)
Journal of Finance
, vol.35
, Issue.3
, pp. 627-643
-
-
Epstein, L.1
Turnbull, S.2
-
15
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama, E., and French, K. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (March): 55-84.
-
(1996)
Journal of Finance
, vol.51
, Issue.MARCH
, pp. 55-84
-
-
Fama, E.1
French, K.2
-
16
-
-
3142687687
-
The effect of public information and competition on trading volume and price volatility
-
Foster, F., and Viswanathan, S. 1993. The effect of public information and competition on trading volume and price volatility. Review of Financial Studies 6, no. 1:23-56.
-
(1993)
Review of Financial Studies
, vol.6
, Issue.1
, pp. 23-56
-
-
Foster, F.1
Viswanathan, S.2
-
17
-
-
0008995407
-
Strategic trading when agents forecast the forecasts of others
-
Foster, F., and Viswanathan, S. 1996. Strategic trading when agents forecast the forecasts of others. Journal of Finance 51 (September): 1437-78.
-
(1996)
Journal of Finance
, vol.51
, Issue.SEPTEMBER
, pp. 1437-1478
-
-
Foster, F.1
Viswanathan, S.2
-
18
-
-
84977717550
-
Herd on the street Informational inefficiencies in a market with short-term speculation
-
Froot, K.; Scharfstein, D.; and Stein, J. 1992. Herd on the street Informational inefficiencies in a market with short-term speculation. Journal of Finance 47, no. 4:1461-84.
-
(1992)
Journal of Finance
, vol.47
, Issue.4
, pp. 1461-1484
-
-
Froot, K.1
Scharfstein, D.2
Stein, J.3
-
19
-
-
0000404701
-
Stock prices and volume
-
Gallant, D.; Rossi, P.; and Tauchen, G. 1992. Stock prices and volume. Review of Financial Studies 5, no. 2:199-242.
-
(1992)
Review of Financial Studies
, vol.5
, Issue.2
, pp. 199-242
-
-
Gallant, D.1
Rossi, P.2
Tauchen, G.3
-
20
-
-
0345401653
-
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
-
Glosten, L., and Milgrom, P. 1985. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14, no. 1:71-100.
-
(1985)
Journal of Financial Economics
, vol.14
, Issue.1
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
21
-
-
84977725243
-
Liquidity and market structure
-
Grossman, S., and Miller, M. 1988. Liquidity and market structure. Journal of Finance 43, no. 3:617-33.
-
(1988)
Journal of Finance
, vol.43
, Issue.3
, pp. 617-633
-
-
Grossman, S.1
Miller, M.2
-
22
-
-
0000086971
-
Trade and the revelation of prices through direct disclosure
-
Grundy, B., and McNichols, M. 1989. Trade and the revelation of prices through direct disclosure. Review of Financial Studies 2, no. 4:495-526.
-
(1989)
Review of Financial Studies
, vol.2
, Issue.4
, pp. 495-526
-
-
Grundy, B.1
McNichols, M.2
-
23
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck, J. 1991. Measuring the information content of stock trades. Journal of Finance 46, no. 1 (March): 179-207.
-
(1991)
Journal of Finance
, vol.46
, Issue.1 MARCH
, pp. 179-207
-
-
Hasbrouck, J.1
-
24
-
-
84993660281
-
Security analysis and trading patterns when some investors receive information before others
-
Hirshleifer, D.; Subrahmanyam, A.; and Titman, S. 1994. Security analysis and trading patterns when some investors receive information before others. Journal of Finance 49, no. 5:1665-98.
-
(1994)
Journal of Finance
, vol.49
, Issue.5
, pp. 1665-1698
-
-
Hirshleifer, D.1
Subrahmanyam, A.2
Titman, S.3
-
26
-
-
0012166025
-
A unified theory of underreaction, overreaction, and momentum trading
-
Hong, H., and Stein, J. 1999. A unified theory of underreaction, overreaction, and momentum trading. Journal of Finance 54 (December): 2143-84.
-
(1999)
Journal of Finance
, vol.54
, Issue.DECEMBER
, pp. 2143-2184
-
-
Hong, H.1
Stein, J.2
-
27
-
-
0030191637
-
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
-
Huang, R., and Stoll, H. 1996. Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics 41 (July): 313-57.
-
(1996)
Journal of Financial Economics
, vol.41
, Issue.JULY
, pp. 313-357
-
-
Huang, R.1
Stoll, H.2
-
28
-
-
84977718628
-
Evidence of predictable behavior of security returns
-
Jegadeesh, N. 1990. Evidence of predictable behavior of security returns. Journal of Finance 45, no. 3:881-98.
-
(1990)
Journal of Finance
, vol.45
, Issue.3
, pp. 881-898
-
-
Jegadeesh, N.1
-
29
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for market efficiency
-
Jegadeesh, N., and Titman, S. 1993. Returns to buying winners and selling losers: Implications for market efficiency. Journal of Finance 48, no. 1:65-92.
-
(1993)
Journal of Finance
, vol.48
, Issue.1
, pp. 65-92
-
-
Jegadeesh, N.1
Titman, S.2
-
30
-
-
0042149392
-
The theoretical implications of asymmetric information on the dynamic and cross-sectional characteristics of asset returns
-
Chapel Hill, N.C.: University of Norm Carolina
-
Jones, C., and Slezak, S. 1999. The theoretical implications of asymmetric information on the dynamic and cross-sectional characteristics of asset returns. Working Paper. Chapel Hill, N.C.: University of Norm Carolina.
-
(1999)
Working Paper
-
-
Jones, C.1
Slezak, S.2
-
31
-
-
84919214538
-
The relationship between price changes and trading volume: A survey
-
Karpoff, J. 1987. The relationship between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, no. 1:109-26.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, Issue.1
, pp. 109-126
-
-
Karpoff, J.1
-
32
-
-
0002927733
-
Price reversals: Bid-ask errors or market overreaction?
-
Kaul, G., and Nimalendran, M. 1990. Price reversals: Bid-ask errors or market overreaction? Journal of Financial Economics 26, nos. 1-2:67-93.
-
(1990)
Journal of Financial Economics
, vol.26
, Issue.1-2
, pp. 67-93
-
-
Kaul, G.1
Nimalendran, M.2
-
33
-
-
0000114036
-
Market reactions to anticipated public announcements
-
Kim, O., and Verrecchia, R. 1991. Market reactions to anticipated public announcements. Journal of Financial Economics 30, no. 2:273-310.
-
(1991)
Journal of Financial Economics
, vol.30
, Issue.2
, pp. 273-310
-
-
Kim, O.1
Verrecchia, R.2
-
34
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. S. 1985. Continuous auctions and insider trading. Econometrica 53, no. 6 (November): 1315-35.
-
(1985)
Econometrica
, vol.53
, Issue.6 NOVEMBER
, pp. 1315-1335
-
-
Kyle, A.S.1
-
35
-
-
84963088616
-
Fads, martingales, and market efficiency
-
Lehmann, B. 1990. Fads, martingales, and market efficiency. Quarterly Journal of Economics 105, no. 1:1-28.
-
(1990)
Quarterly Journal of Economics
, vol.105
, Issue.1
, pp. 1-28
-
-
Lehmann, B.1
-
36
-
-
84933490070
-
Insider trading: Should it be prohibited?
-
Leland, H. 1992. Insider trading: Should it be prohibited? Journal of Political Economy 100, no. 4:859-87.
-
(1992)
Journal of Political Economy
, vol.100
, Issue.4
, pp. 859-887
-
-
Leland, H.1
-
37
-
-
0001173683
-
When are contrarian profits due to stock market overreaction?
-
Lo, A., and Mackinlay, C. 1990. When are contrarian profits due to stock market overreaction? Review of Financial Studies 3, no. 2:175-205.
-
(1990)
Review of Financial Studies
, vol.3
, Issue.2
, pp. 175-205
-
-
Lo, A.1
Mackinlay, C.2
-
38
-
-
0040799579
-
Public disclosure, private information collection, and short-term trading
-
McNichols, M., and Trueman, B. 1994. Public disclosure, private information collection, and short-term trading. Journal of Accounting and Economics 17, nos. 1-2:69-94.
-
(1994)
Journal of Accounting and Economics
, vol.17
, Issue.1-2
, pp. 69-94
-
-
McNichols, M.1
Trueman, B.2
-
40
-
-
84984266686
-
Differential information, the variability of UK stock returns, and earnings announcements
-
Pope, P., and Inyangete, C. 1992. Differential information, the variability of UK stock returns, and earnings announcements. Journal of Business Finance and Accounting 19, no. 4:603-23.
-
(1992)
Journal of Business Finance and Accounting
, vol.19
, Issue.4
, pp. 603-623
-
-
Pope, P.1
Inyangete, C.2
-
41
-
-
0040165125
-
International momentum strategies
-
Rouwenhorst, G. 1998. International momentum strategies. Journal of Finance 53 (February): 267-84.
-
(1998)
Journal of Finance
, vol.53
, Issue.FEBRUARY
, pp. 267-284
-
-
Rouwenhorst, G.1
-
42
-
-
0000893807
-
Do stock prices move too much to be justified by subsequent changes in dividends?
-
Shiller, R. 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, no. 3:421-98.
-
(1981)
American Economic Review
, vol.71
, Issue.3
, pp. 421-498
-
-
Shiller, R.1
-
43
-
-
0000515067
-
Equilibrium short horizons of investors and firms
-
Shleifer, A., and Vishny, R. 1990. Equilibrium short horizons of investors and firms. American Economic Review 80, no. 2:148-53.
-
(1990)
American Economic Review
, vol.80
, Issue.2
, pp. 148-153
-
-
Shleifer, A.1
Vishny, R.2
-
45
-
-
0031574511
-
Institutional ownership, differential predisclosure precision, and trading volume at announcement dates
-
Utama, S., and Cready, W. 1997. Institutional ownership, differential predisclosure precision, and trading volume at announcement dates. Journal of Accounting and Economics 24, no. 1: 129-50.
-
(1997)
Journal of Accounting and Economics
, vol.24
, Issue.1
, pp. 129-150
-
-
Utama, S.1
Cready, W.2
-
46
-
-
21844527325
-
Short-term investment and the informational efficiency of the market
-
Vives, X. 1995. Short-term investment and the informational efficiency of the market Review of Financial Studies 8, no. 1:125-70.
-
(1995)
Review of Financial Studies
, vol.8
, Issue.1
, pp. 125-170
-
-
Vives, X.1
-
47
-
-
84960563837
-
Trading volume and serial correlation in stock returns
-
Wang, J. 1993a. Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108, no. 4:905-39.
-
(1993)
Quarterly Journal of Economics
, vol.108
, Issue.4
, pp. 905-939
-
-
Wang, J.1
-
48
-
-
84960614899
-
A model of intertemporal asset prices under asymmetric information
-
Wang, J. 1993b. A model of intertemporal asset prices under asymmetric information. Review of Economic Studies 60, no. 2:249-82.
-
(1993)
Review of Economic Studies
, vol.60
, Issue.2
, pp. 249-282
-
-
Wang, J.1
|