The driving force behind the well-documented medium term momentumeffect in stock returns is subject of much debate. Empirical papersthat aim to find the determinants of this return continuation, seem tobe almost exclusively restricted to US stock markets. Consequently,regional effects have...

Using high frequency data on ten infrequently traded stocks during the year 1999, we measure the information content of a trade and its relation to the trading intensity.While the price impact curve for frequently traded stocks monotonically increases towards the full information price, we find...

In this paper we propose a bivariate model for the trading intensities of stocks in a particular industry.The model consists of a univariate duration model for trades in either of the stocks and a probit-specification for which of the two stocks is traded.We apply the model to the trading...

In this paper we investigate the relation between price impact and trading volume for a sample of stocks listed on the New York Stock Exchange. The parametric VAR-models that have been used in the literature starting with Hasbrouck (1991a, 1991b) impose strong proportionality and symmetry...

In this paper we propose a bivariate model for the trading intensities of two stocks in a particular industry. The model consists of a univariate duration model for the pooled transaction process and a probit-specification for the type of trade. We apply the model to the trading intensities of...