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Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

Long-lived private information and imperfect competition

Holden, Craig W. - In: The journal of finance : the journal of the American … 47 (1992) 1, pp. 247-270

Persistent link: https://www.econbiz.de/10001124507

The dynamics of market efficiency

Rösch, Dominik M.; Subrahmanyam, Avanidhar; Dijk, … - In: The review of financial studies 30 (2017) 4, pp. 1151-1187

Persistent link: https://www.econbiz.de/10011749349

High-frequency measures of informed trading and corporate announcements

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376

Persistent link: https://www.econbiz.de/10011926626

High-Frequency Measures of Informed Trading and Corporate Announcements

Brennan, Michael J. - 2017

We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A...

Persistent link: https://www.econbiz.de/10012972038

Investor psychology and security market under- and overreactions

Daniel, Kent - In: The journal of finance : the journal of the American … 53 (1998) 6, pp. 1839-1885

Persistent link: https://www.econbiz.de/10001251919

Order imbalances and market efficiency : evidence from the Taiwan stock exchange

Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 327-341

Persistent link: https://www.econbiz.de/10002103632

Liquidity skewness

Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of banking & finance 34 (2010) 10, pp. 2562-2571

Persistent link: https://www.econbiz.de/10008858290

Index option trading activity and market returns

Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; … - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1758-1778

Persistent link: https://www.econbiz.de/10012506034

Public disclosure in acquisitions

Subrahmanyam, Avanidhar; Xu, Wenyuan - In: Review of financial economics : RFE 36 (2018) 1, pp. 3-11

Persistent link: https://www.econbiz.de/10011948550

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