Stock Price Reaction to Public and Private Information
暂无分享,去创建一个
[1] Jiang Wang,et al. A Model of Intertemporal Asset Prices Under Asymmetric Information , 2011 .
[2] Richard W. McEnally,et al. Cross-Sectional Variation in Common Stock Returns , 1992 .
[3] M. Brennan,et al. Investment analysis and price formation in securities markets , 1995 .
[4] F. Foster,et al. Strategic Trading When Agents Forecast the Forecasts of Others , 1996 .
[5] Anat R. Admati,et al. A Theory of Intraday Patterns: Volume and Price Variability , 1988 .
[6] M. E. Ellis. Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve , 2005 .
[7] F. Albert Wang. Strategic trading, asymmetric information and heterogeneous prior beliefs , 1998 .
[8] R. Litzenberger,et al. The effect of personal taxes and dividends on capital asset prices , 1979 .
[9] Robert E. Verrecchia,et al. Disclosure, Liquidity, and the Cost of Capital , 1991 .
[10] Charles E. Wasley,et al. Capital Markets Research in Accounting , 2001 .
[11] David Easley,et al. Time-Varying Arrival Rates of Informed and Uninformed Trades , 2001 .
[12] E. Fama,et al. Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.
[13] David Easley,et al. Liquidity, Information, and Infrequently Traded Stocks , 1996 .
[14] M. Harris,et al. Differences of Opinion Make a Horse Race , 1993 .
[15] Charles M. Jones,et al. Transactions, Volume, and Volatility , 1994 .
[16] Robert E. Verrecchia,et al. Pre-announcement and event-period private information , 1997 .
[17] J. Francis,et al. Financial Anomalies and Information Uncertainty , 2004 .
[18] F. Eugene. FAMA, . Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics . , 1998 .
[19] A. Shleifer,et al. The Limits of Arbitrage , 1995 .
[20] J. Stein,et al. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets , 1997 .
[21] W. S. Chan,et al. Stock Price Reaction to News and No-News: Drift and Reversal after Headlines , 2001 .
[22] Jay Shanken. On the Estimation of Beta-Pricing Models , 1992 .
[23] Victor L. Bernard,et al. POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM , 1989 .
[24] Terence Lim,et al. Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies , 1998 .
[25] J. B. Heaton,et al. Competing Theories of Financial Anomalies , 2001 .
[26] Maureen O'Hara,et al. The Accuracy of Trade Classification Rules: Evidence from NASDAQ , 2000 .
[27] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[28] L. Summers,et al. Noise Trader Risk in Financial Markets , 1990, Journal of Political Economy.
[29] Brad M. Barber,et al. Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics , 1997 .
[30] Robert A. Korajczyk,et al. Are Momentum Profits Robust to Trading Costs? , 2003 .
[31] Kent D. Daniel,et al. Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions' , 1998 .
[32] Tarun Chordia,et al. Earnings and Price Momentum , 2005 .
[33] E. A. Dyl,et al. MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE , 1997 .
[34] Edward A. Dyl,et al. Market Structure and Trading Volume , 2005 .
[35] Neil D. Pearson,et al. Differential Interpretation of Public Signals and Trade in Speculative Markets , 1995, Journal of Political Economy.
[36] David Easley,et al. Financial analysts and information-based trade , 1998 .
[37] J. Stein,et al. Differences of Opinion, Short-Sales Constraints, and Market Crashes , 2003 .
[38] Christopher J. Malloy,et al. Differences of Opinion and the Cross Section of Stock Returns , 2002 .
[39] Timothy C. Johnson. Rational Momentum Effects , 2001 .
[40] Elizabeth R. Odders-White,et al. On the occurrence and consequences of inaccurate trade classification , 2000 .
[41] B. Radhakrishna,et al. Inferring investor behavior: Evidence from TORQ data , 2000 .
[42] Timothy C. Johnson,et al. Unifying Underreaction Anomalies , 2002 .
[43] David Easley,et al. Is Information Risk a Determinant of Asset Returns , 2002 .
[44] Maureen O'Hara,et al. Time and the Process of Security Price Adjustment , 1992 .
[45] Brad M. Barber,et al. Improved Methods for Tests of Long-Run Abnormal Stock Returns , 1999 .
[46] Stephen E. Wilcox. Investor Psychology and Security Market Under- and Overreactions , 1999 .
[47] Kent D. Daniel,et al. NBER WORKING PAPER SERIES EVIDENCE ON THE CHARACTERISTICS OF CROSS SECTIONAL VARIATION IN STOCK RETURNS , 1996 .
[48] V. Bernard,et al. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings , 1990 .
[49] T. C. Green. Economic News and the Impact of Trading on Bond Prices , 2001 .
[50] B.,et al. Measuring long-horizon security price performance , 2004 .
[51] Sanford J. Grossman. On the Impossibility of Informationally Efficient Markets , 1980 .
[52] E. Fama. Market Efficiency, Long-Term Returns, and Behavioral Finance , 1997 .
[53] R. Ball,et al. An empirical evaluation of accounting income numbers , 1968 .
[54] R. C. Merton,et al. Presidential Address: A simple model of capital market equilibrium with incomplete information , 1987 .
[55] Laura Veldkamp,et al. Media Frenzies in Markets for Financial Information , 2003 .
[56] Martin D. D. Evans,et al. Order Flow and Exchange Rate Dynamics , 2002, Journal of Political Economy.
[57] Robert E. Verrecchia,et al. Market liquidity and volume around earnings announcements , 1994 .