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Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10009153191
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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Price drift before U.S. macroeconomic news : private information about public announcements?
Kurov, Alexander; Sancetta, Alessio; Strasser, Georg; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 1, pp. 449-479
Persistent link: https://www.econbiz.de/10012128928
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Institutional investment constraints and stock prices
Cao, Jie; Han, Bing; Wang, Qinghai - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 2, pp. 465-489
Persistent link: https://www.econbiz.de/10011742051
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Informed trading in the stock market and option-price discovery
Collin-Dufresne, Pierre; Fos, Vyacheslav; Muravyev, Dmitry - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 6, pp. 1945-1984
Persistent link: https://www.econbiz.de/10012618498
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Market reaction to corporate press releases
Neuhierl, Andreas; Scherbina, Anna; Schlusche, Bernd - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1207-1240
Persistent link: https://www.econbiz.de/10010255205
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Risk-neutral skewness, informed trading, and the cross section of stock returns
Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1713-1737
Persistent link: https://www.econbiz.de/10012618491
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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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The impact of minimum trading units on stock value and price volatility
Hauser, Shmuel; Lauterbach, Beni - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 575-589
Persistent link: https://www.econbiz.de/10001794043
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Anticipating uncertainty : straddles around earnings announcements
Gao, Chao; Xing, Yuhang; Zhang, Xiaoyan - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2587-2617
Persistent link: https://www.econbiz.de/10012128058