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The information content in trades of inactive Nasdaq stocks
Chen, Peter; Man, Kasing; Wu, Chunchi - In: Journal of entrepreneurial finance : JEF ; official … 8 (2003) 2, pp. 25-53
In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by...
Persistent link: https://www.econbiz.de/10009958392
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Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation
Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Management science : journal of the Institute for … 59 (2013) 3, pp. 695-714
Persistent link: https://www.econbiz.de/10010089336
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Time and dynamic volume–volatility relation
Eleanor Xu, Xiaoqing; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558
Persistent link: https://www.econbiz.de/10007259893
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Extended fractional Gaussian noise and simple ARFIMA approximations
Man, Kasing - In: Journal of time series econometrics 2 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010029871
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When Capital Follows Profitability: Non-linear Residual Income Dynamics
Biddle, Gary C.; Chen, Peter; Zhang, Guochang - In: Review of accounting studies 6 (2001) 2, pp. 229-266
Persistent link: https://www.econbiz.de/10005948513
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Regulatory Capital, Tax, and Earnings Management Effects on Loan Loss Accruals in the Canadian Banking Industry
Chen, Peter; Daley, Lane - In: Contemporary accounting research : a journal of the … 13 (1996) 1, pp. 91-128
Persistent link: https://www.econbiz.de/10007000518
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How do accounting variables explain stock price movements? Theory and evidence
Chen, Peter; Zhang, Guochang - In: Journal of accounting & economics 43 (2007) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10007738908
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Reliability of assessing upper limb postures among workers performing manufacturing tasks
Dartt, Angela; Rosecrance, John; Gerr, Fred; Chen, Peter; … - In: Applied ergonomics : the journal of people's … 40 (2009) 3, pp. 371-378
Persistent link: https://www.econbiz.de/10008178377
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Layoffs, shareholders' wealth, and corporate performance
Chen, Peter; Mehrotra, Vikas; Sivakumar, Ranjini; Yu, … - In: Journal of empirical finance 8 (2001) 2, pp. 171-200
Persistent link: https://www.econbiz.de/10007239804
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Understanding occupy in Australia
Jackson, Stewart; Chen, Peter - In: Journal of Australian political economy 69 (2012), pp. 5-28
Persistent link: https://www.econbiz.de/10010004082