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A PIN per day shows what news convey : the intraday probability of informed trading

Pöppe, Thomas; Aitken, Michael J.; Schiereck, Dirk; … - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1187-1220

Persistent link: https://www.econbiz.de/10011596226

A PIN Per Day Shows What News Convey – The Intraday Probability of Informed Trading

Aitken, Michael J. - 2016

Insider trading and the effectiveness of regulatory actions trying to detect and prevent it are of great interest to traders, regulators, prosecutors and the public. This paper develops an intraday estimation procedure for the sequential trading model initially proposed by Easley et al. (1987,...

Persistent link: https://www.econbiz.de/10013007271

The lead-lag relationship between equities and stock index futures markets around information releases

Frino, Alex; Walter, Terry S.; West, Andrew - In: The journal of futures markets 20 (2000) 5, pp. 467-487

Persistent link: https://www.econbiz.de/10001500120

Intraday futures market behaviour around major scheduled macroeconomic announcements : Australian evidence

Frino, Alex; Hill, Amelia - In: Journal of banking & finance 25 (2001) 7, pp. 1319-1337

Persistent link: https://www.econbiz.de/10001586896

Market behavior of institutional investors around bankruptcy announcements

Frino, Alex; Jones, Stewart; Lepone, Andrew; Wong, Jin Boon - In: Journal of business finance & accounting : JBFA 41 (2014) 1/2, pp. 270-295

Persistent link: https://www.econbiz.de/10010336538

Does insider trading explain price run-up ahead of takeover announcements?

Aspris, Angelo; Foley, Sam; Frino, Alex - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 24-45

Persistent link: https://www.econbiz.de/10010342438

An event time study of the price reaction to large retail trades

Frino, Alex; Jarnecic, Elvis; Lepone, Andrew - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 617-632

Persistent link: https://www.econbiz.de/10003852644

An empirical analysis of algorithmic trading around earnings announcements

Frino, Alex; Prodromou, Tina; Wang, George H. K.; … - In: Pacific-Basin finance journal 45 (2017), pp. 34-51

Persistent link: https://www.econbiz.de/10011800806

The effect of algorithmic trading on market liquidity : evidence around earnings announcements on Borsa Italiana

Frino, Alex; Mollica, Vito; Monaco, Eleonora; Palumbo, … - In: Pacific-Basin finance journal 45 (2017), pp. 82-90

Persistent link: https://www.econbiz.de/10011800818

The impact of CEO narcissism on earnings management

Capalbo, Francesco; Frino, Alex; Lim, Ming Ying; … - In: Abacus : a journal of accounting, finance and business … 54 (2018) 2, pp. 210-226

Persistent link: https://www.econbiz.de/10011965529