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Tests and properties of variance rations in microstructure studies
Ronen, Tavy - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 2, pp. 183-204
Persistent link: https://www.econbiz.de/10001224466
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Trader competition in fragmented markets : liquidity supply versus picking-off risk
Bernales, Alejandro; Garrido, Nicolás; Sagade, Satchit; … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 1, pp. 221-248
Persistent link: https://www.econbiz.de/10014486395
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Liquidity in the futures pits : inferring market dynamics from incomplete data
Hasbrouck, Joel - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 305-326
Persistent link: https://www.econbiz.de/10002103608
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The value of trading consolidation : evidence from the exercise of warrants
Amihud, Yakov; Lauterbach, Beni; Mendelson, Haim - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 829-846
Persistent link: https://www.econbiz.de/10001859288
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Order consolidation, price efficiency, and extreme liquidity shocks
Barclay, Michael J.; Hendershott, Terrence; Jones, … - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 93-122
Persistent link: https://www.econbiz.de/10003692393
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The performance of short-term institutional trades
Chakrabarty, Bidisha; Moulton, Pamela C.; Trzcinka, Charles - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1403-1428
Persistent link: https://www.econbiz.de/10011927920
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DRIPs and the dividend pay date effect
Berkman, Henk; Koch, Paul Douglas - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1765-1795
Persistent link: https://www.econbiz.de/10011928408
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Trading in the presence of short-lived private information : evidence from analyst recommendation changes
Kadan, Ohad; Michaely, Roni; Moulton, Pamela C. - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1509-1546
Persistent link: https://www.econbiz.de/10011930504
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Cointegration, error correction, and price discovery on informationally linked security markets
Harris, Frederick H. deB.; McInish, Thomas H.; … - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 563-579
Persistent link: https://www.econbiz.de/10001218096
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A direct test of methods for inferring trade direction from intra-day data
Finucane, Thomas J. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 4, pp. 553-576
Persistent link: https://www.econbiz.de/10001540813