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Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of banking & finance 30 (2006) 1, pp. 229-246

Persistent link: https://www.econbiz.de/10003285601

High-Frequency Measures of Informed Trading and Corporate Announcements

Brennan, Michael J. - 2017

We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A...

Persistent link: https://www.econbiz.de/10012972038

High-frequency measures of informed trading and corporate announcements

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376

Persistent link: https://www.econbiz.de/10011926626

Does round-the-clock trading result in Pareto improvements?

Spiegel, Matthew; Subrahmanyam, Avanidhar - 1993

Persistent link: https://www.econbiz.de/10000859597

Order flow patterns around seasoned equity offering and their implications for stock price movements

Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: International review of finance 5 (2005) 1/2, pp. 75-111

Persistent link: https://www.econbiz.de/10003351736

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

The cross section of analysts recommendations

Sorescu, Sorin M.; Subrahmanyam, Avanidhar - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 1, pp. 139-168

Persistent link: https://www.econbiz.de/10003303803

The microstructure of cross-autocorrelations

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003582799

Stock salience and the asymmetric market effect of consumer sentiment news

Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 36 (2012) 12, pp. 3289-3301

Persistent link: https://www.econbiz.de/10009660492

Financial market shocks and the macroeconomy

Subrahmanyam, Avanidhar; Titman, Sheridan - In: The review of financial studies 26 (2013) 11, pp. 2687-2717

Persistent link: https://www.econbiz.de/10010225970