Inferring investor behavior: Evidence from TORQ data

[1]  Elizabeth R. Odders-White,et al.  On the occurrence and consequences of inaccurate trade classification , 2000 .

[2]  George Sofianos,et al.  An empirical analysis of NYSE specialist trading , 1998 .

[3]  A. Subrahmanyam Multi-market trading and the informativeness of stock trades: An empirical intraday analysis , 1997 .

[4]  David Easley,et al.  One Day in the Life of a Very Common Stock , 1997 .

[5]  Beverly R. Walther,et al.  Investor Sophistication and Market Earnings Expectations , 1997 .

[6]  Ananth N. Madhavan,et al.  Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks , 1996 .

[7]  Maureen O'Hara,et al.  Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow , 1996 .

[8]  M. Brennan THE INDIVIDUAL INVESTOR , 1995 .

[9]  Ananth Madhavan,et al.  An Analysis of Changes in Specialist Inventories and Quotations , 1993 .

[10]  Charles M. C. Lee Market Integration and Price Execution for NYSE-Listed Securities , 1993 .

[11]  Charles M. C. Lee,et al.  Earnings news and small traders : An intraday analysis , 1992 .

[12]  Ananth Madhavan,et al.  A Bayesian model of intraday specialist pricing , 1991 .

[13]  Charles M. C. Lee,et al.  Inferring Trade Direction from Intraday Data , 1991 .

[14]  R. Thaler,et al.  Investor Sentiment and the Closed-End Fund Puzzle , 1990 .

[15]  Josef Lakonishok,et al.  The Weekend Effect: Trading Patterns of Individual and Institutional Investors , 1990 .

[16]  Robert J. Shiller,et al.  Survey evidence on diffusion of interest and information among investors , 1989 .

[17]  J. Ritter The Buying and Selling Behavior of Individual Investors at the Turn of the Year , 1988 .

[18]  William M. Cready Information Value and Investor Wealth: The Case of Earnings Announcements , 1988 .

[19]  David Mayers,et al.  The effect of large block transactions on security prices: A cross-sectional analysis , 1987 .

[20]  Sherman J. Maisel The Economic and Finance Literature and Decision Making , 1974 .

[21]  Wilbur G. Lewellen,et al.  The Individual Investor: Attributes and Attitudes , 1974 .

[22]  Ananth Madhavan,et al.  In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets , 1997 .

[23]  George Sofianos,et al.  New York Stock Exchange Systems and Trading Procedures , 1996 .

[24]  Hans R. Stoll,et al.  Market Microstructure and Stock Return Predictions , 1994 .