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Illiquidity and price informativeness

Kerr, Jon; Sadka, Gil; Sadka, Ronnie - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 334-351

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Stock price information content, idiosyncratic volatility and expected return

Liang, Meimei - In: Journal of mathematical finance 5 (2015) 4, pp. 401-411

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On the relationship between implied volatility index and equity index returns

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Information demand and stock return predictability

Chronopoulos, Dimitris K.; Papadimitriou, Fotios I.; … - In: Journal of international money and finance 80 (2018), pp. 59-74

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The information content of earnings announcements : new insights from intertemporal and cross-sectional behavior

Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - In: Review of accounting studies 23 (2018) 1, pp. 95-135

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Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading

Chiang, Chin-Han; Chung, Sung Gon; Louis, Henock - In: Journal of banking & finance 76 (2017), pp. 65-73

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Measuring the information content of disclosures : the role of return noise

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Short Selling Activities and Convertible Bond Arbitrage : Empirical Evidence from the New York Stock Exchange

Werner, Sebastian P. - 2010

Background and Empirical Predictions -- The Event Study Methodology -- Data, Full Sample and Variable Construction -- Difference in Abnormal Short Selling Activity Following Events of Large Positive Stock Price Changes -- Difference in Information Content of Extreme Short Selling Activity Events...

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Advance information and asset prices

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Short-sale constraints, information acquisition, and asset prices

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