Similar Search Results - EconBiz

The quality of price formation at market openings and closings : evidence from the Nasdaq stock market

Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

Persistent link: https://www.econbiz.de/10003831253

A call auction's impact on price formation and order routing : evidence from the NASDAQ stock market

Pagano, Michael S.; Peng, Lin - In: Journal of financial markets 16 (2013) 2, pp. 331-361

Persistent link: https://www.econbiz.de/10009750776

Resiliency and stock returns

Hua, Jian; Peng, Lin; Schwartz, Robert A.; Alan, Nazli Sila - In: The review of financial studies 33 (2020) 2, pp. 747-782

Persistent link: https://www.econbiz.de/10012197991

Accentuated intraday stock price volatility : what is the cause?

Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A. - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 45-55

Persistent link: https://www.econbiz.de/10003980024

Using an alternative estimation method to perform comprehensive empirical tests : an application to interest rate risk-management

Pagano, Michael S. - In: Review of quantitative finance and accounting 23 (2004) 4, pp. 377-406

Persistent link: https://www.econbiz.de/10002534938

Equity markets : structure, trading and performance

Schwartz, Robert A. - 1988

Persistent link: https://www.econbiz.de/10000750213

Liquidity shocks and stock market reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - In: The review of financial studies 27 (2014) 5, pp. 1434-1485

Persistent link: https://www.econbiz.de/10010370791

Is there a risk-return trade-off? : evidence from high-frequency data

Bali, Turan G.; Peng, Lin - In: Journal of applied econometrics 21 (2006) 8, pp. 1169-1198

Persistent link: https://www.econbiz.de/10003406262

R2 and price inefficiency

Hou, Kewei (contributor); Peng, Lin (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003404467

CEO incentives : measurement, determinants, and impact on performance

Peng, Lin; Röell, Ailsa; Tang, Hongfei - 2016

Persistent link: https://www.econbiz.de/10011524465

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