Stealth-trading : Which traders ’ trades move stock prices ?
暂无分享,去创建一个
[1] Anat R. Admati,et al. A Theory of Intraday Patterns: Volume and Price Variability , 1988 .
[2] A. Lo,et al. When are Contrarian Profits Due to Stock Market Overreaction? , 1989 .
[3] A. Kyle. Continuous Auctions and Insider Trading , 1985 .
[4] David Mayers,et al. The effect of large block transactions on security prices: A cross-sectional analysis , 1987 .
[5] Charles M. C. Lee,et al. Earnings news and small traders : An intraday analysis , 1992 .
[6] Joel Hasbrouck,et al. Measuring the Information Content of Stock Trades , 1991 .
[7] Duane J. Seppi. Equilibrium Block Trading and Asymmetric Information , 1990 .
[8] Elizabeth R. Odders-White,et al. On the occurrence and consequences of inaccurate trade classification , 2000 .
[9] Ananth Madhavan,et al. A Bayesian model of intraday specialist pricing , 1991 .
[10] 西野 嘉一郎,et al. Federal Reserve Bank of New Yorkの制定せる財務諸表様式について , 1951 .
[11] Avner Arbel,et al. Pay attention to neglected firms!* , 1983 .
[12] Maureen O'Hara,et al. Time and the Process of Security Price Adjustment , 1992 .
[13] Limit Orders and the Bid-Ask Spread , 2003 .
[14] Louis K.C. Chan,et al. The Behavior of Stock Prices Around Institutional Trades , 1993 .
[15] M. Ready,et al. The Specialist's Discretion: Stopped Orders and Price Improvement , 1999 .
[16] Laura T. Starks,et al. Return autocorrelation and institutional investors , 1997 .
[17] David Easley,et al. Adverse Selection and Large Trade Volume: The Implications for Market Efficiency , 1992, Journal of Financial and Quantitative Analysis.
[18] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[19] D. Bertsimas,et al. Optimal control of execution costs , 1998 .
[20] Jerold B. Warner,et al. Stealth trading and volatility , 1993 .
[21] Sugato Chakravarty,et al. Does Insider Trading Really Move Stock Prices? , 1999, Journal of Financial and Quantitative Analysis.
[22] Donald B. Keim,et al. The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects , 1996 .
[23] Louis K.C. Chan,et al. Institutional trades and intraday stock price behavior , 1991 .
[24] Joel Hasbrouck. Order characteristics and stock price evolution An application to program trading , 1996 .
[25] James J. Angel. Short Selling on the NYSE , 1997 .
[26] M. Sewell. Market Microstructure , 2007 .
[27] Maureen O'Hara,et al. Building blocks: An introduction to block trading☆ , 1987 .
[28] Michael J. Barclay,et al. Private Information and the Costs of Trading around Quarterly Earnings Announcements , 1996 .
[29] Beverly R. Walther,et al. Investor Sophistication and Market Earnings Expectations , 1997 .
[30] Hans R. Stoll,et al. Market Microstructure and Stock Return Predictions , 1994 .
[31] Sanford J. Grossman. The Informational Role of Upstairs and Downstairs Trading , 1992 .
[32] Sugato Chakravarty,et al. An Analysis of Prices, Bid/Ask Spreads, and Bid and Ask Depths Surrounding Ivan Boesky's Illegal Trading in Carnation's Stock , 1997 .
[33] Sugato Chakravarty,et al. A General Analysis of Brokers' Trading, with Applications to Order Flow Internalization and Off-Exchange Block Sales , 1998 .
[34] Jayant R. Kale,et al. Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns , 1995 .
[35] Maureen O'Hara,et al. PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS* , 1987 .
[36] R. Ball,et al. The effect of block transactions on share prices : Australian evidence , 1989 .
[37] L. Meulbroek,et al. An Empirical Analysis of Illegal Insider Trading , 1992 .
[38] B. Radhakrishna. Investor heterogeneity and earnings announcements. , 1995 .
[39] Joel Hasbrouck. The Summary Informativeness of Stock Trades: An Econometric Analysis , 1991 .
[40] Jennifer L. Koski,et al. Who trades around the ex-dividend day? Evidence from NYSE audit file data , 1998 .
[41] George Sofianos,et al. New York Stock Exchange Systems and Trading Procedures , 1996 .
[42] Ananth Madhavan,et al. An Analysis of Changes in Specialist Inventories and Quotations , 1993 .
[43] Bradford Cornell,et al. The Reaction of Investors and Stock Prices to Insider Trading , 1992 .