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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

The dynamics of market efficiency

Rösch, Dominik M.; Subrahmanyam, Avanidhar; Dijk, … - In: The review of financial studies 30 (2017) 4, pp. 1151-1187

Persistent link: https://www.econbiz.de/10011749349

Capital Market Effi ciency and Arbitrage E fficacy

Akbas, Ferhat - 2015

Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine … performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively …-sectional equity market efficiency varies across time with the availability of arbitrage capital …

Persistent link: https://www.econbiz.de/10013037087

Commonality in Liquidity

Chordia, Tarun - 2000

Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in...

Persistent link: https://www.econbiz.de/10012743582

Overconfidence, arbitrage, and equilibrium asset pricing

Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 921-965

Persistent link: https://www.econbiz.de/10001593013

Covariance risk, mispricing, and the cross section of security returns

Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - 2000

Persistent link: https://www.econbiz.de/10001462158

Covariance risk, mispricing, and the cross section of security returns

Daniel, Kent (contributor); Hirshleifer, David (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001522681

Covariance Risk, Mispricing, and the Cross Section of Security Returns

Daniel, Kent D. - 2000

This paper offers a multisecurity model in which prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade to profit from mispricing. We derive a pricing relationship in which expected returns are linearly related to both risk and mispricing...

Persistent link: https://www.econbiz.de/10012471155

Capital market efficiency and arbitrage efficacy

Akbas, Ferhat; Armstrong, Will J.; Sorescu, Sorin M.; … - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 387-413

Persistent link: https://www.econbiz.de/10011577478

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