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Information-based trading in dealer and auction markets : an analysis of exchange listings
Heidle, Hans G.; Huang, Roger D. - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 3, pp. 391-424
Persistent link: https://www.econbiz.de/10001705068
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The estimation of quality-adjusted auction returns with varying transaction intervals
Taylor, William M. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 1, pp. 131-142
Persistent link: https://www.econbiz.de/10001122222
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Market manipulation, price bubbles, and a model of the US Treasury securities auction market
Chatterjea, Arkadev - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 2, pp. 255-289
Persistent link: https://www.econbiz.de/10001246906
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The effect of transaction size on off-the-run treasury prices
Babbel, David F.; Merrill, Craig B.; Meyer, Mark F.; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 3, pp. 595-611
Persistent link: https://www.econbiz.de/10002233851
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Rethinking measures of mergers & acquisitions deal premiums
Eaton, Gregory W.; Liu, Tingting; Officer, Micah S. - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 3, pp. 1097-1126
Persistent link: https://www.econbiz.de/10012505707
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Forecasting volatility using long memory and comovements : an application to option valuation under SFAS 123R
Jiang, George J.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 503-533
Persistent link: https://www.econbiz.de/10003990715
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Using 10-K text to gauge financial constraints
Bodnaruk, Andrij; Loughran, Tim; McDonald, Bill - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 4, pp. 623-646
Persistent link: https://www.econbiz.de/10011431008
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A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165
Persistent link: https://www.econbiz.de/10011338944
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Predictable dynamics in higher-order risk-neutral moments : evidence from the S&P 500 options
Neumann, Michael; Skiadopoulos, George - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 3, pp. 947-977
Persistent link: https://www.econbiz.de/10010201777
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089