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The distribution of information and the price efficiency of markets

Corgnet, Brice; DeSantis, Mark; Porter, David P. - 2018

Persistent link: https://www.econbiz.de/10012030155

Momentum crashes

Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247

Persistent link: https://www.econbiz.de/10011590901

The Fama portfolio : selected papers of Eugene F. Fama

Fama, Eugene F.; Cochrane, John H.; Moskowitz, Tobias J. - 2017

Preface / by John H. Cochrane and Tobias J. Moskowitz -- Introductions. My Life in Finance / Eugene F. Fama ; Things I've Learned from Gene Fama / Kenneth R. French ; Gene Fama's Impact: A Quantitative Analysis / G. William Schwert and René M. Stulz -- Efficient markets. Efficient Markets and...

Persistent link: https://www.econbiz.de/10011534483

The Fama portfolio : selected papers of Eugene F. Fama

Fama, Eugene F.; Cochrane, John H.; Moskowitz, Tobias J. - 2017

Persistent link: https://www.econbiz.de/10011837761

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei (contributor); Moskowitz, Tobias J. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001755508

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei (contributor); Moskowitz, Tobias J. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001901898

Time series momentum

Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250

Persistent link: https://www.econbiz.de/10009621174

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei; Moskowitz, Tobias J. - In: The review of financial studies 18 (2005) 3, pp. 981-1020

Persistent link: https://www.econbiz.de/10003133579

Algorithmic Trading, Price Efficiency and Welfare : An Experimental Approach

Corgnet, Brice; DeSantis, Mark; Siemroth, Christoph - 2023

We develop a novel experimental paradigm to study the causal impact of trading algorithms on informational efficiency, liquidity, and welfare. In our design, public information about the asset value is revealed during trading, which gives algorithms a reaction speed advantage. We distinguish...

Persistent link: https://www.econbiz.de/10014351067

How does passive investing effect the informational efficiency of prices?

Corgnet, Brice; DeSantis, Mark; Peng, Yan; Porter, David P. - 2024

Persistent link: https://www.econbiz.de/10014474729