Efthymiou, Vassilis A.; Leledakis, George N. - Volkswirtschaftliche Fakultät, … - 2013
This study places Dubofsky’s (1992) “limit order adjustment hypothesis” under the microscope of an intraday analysis, which employs a minute-by-minute trade and quote data recorded during the ex-dividend days of common stocks listed on NYSE, AMEX and NASDAQ. Dufosky’s (1992) model...